Jun
7
Carry On, from John Floyd
June 7, 2007 |
Emerging market currencies such as the Mexican Peso, Brazilian Real and South African Rand have been under some pressure in recent days, but the G10 Carry Index has barely moved and now seems to have diverged from several markets, including the VIX (shown here with the VIX inverted). Additionally, the central banks of two of the higher yielding currencies in the G10 Carry Index (UK and New Zealand) met today. I imagine this provides some opportunities in the next day or so as markets are likely to realign in one direction or the other.
The below chart shows the carry in orange, vs. the VIX in white.
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