FX Volatility Screener

This scatter plot shows the steepness of the implied vol term structure versus the percentile of the most recent short term implied vol. It is used to identify which maturities to trade. The dots should normally slope at a 45 degree angle downwards to the right: Steepness tends to be elevated when front-end vol is low, and inverted when front-end vol is high

This chart displays the relationship between realized volatility percentiles and the volatility risk premium. Higher VRP means that the implied vol is rich compared to realized. If the realized vol is depressed, this means the market is pricing in mean reversion. If it is elevated, it is potentially overpriced. Look for opportunities away from the downward sloping 45 degree line, similar to previous chart.

This chart compares actual implied volatility levels against realized volatility. It should help to get a quick visual of the volatility profile for each currency.

This chart shows normalized variations of the plot to the left. The pattern is still expected to be upward sloping on a 45 degree angle. Deviations above or below that line represent potential over or underpricing of implied vols.