FX Implied Volatility around 20-yr lows

Market is priced for a very smooth and calm ride.

FX Vols at the lows.

Won’t go through all crosses… but in past 30yr…

In first half of 1990 decade USDCAD did realize less than current 1y implieds:

In USDJPY you never lost money if you bought vol at current 1y levels in the past 30 years.

This time is different, absolute. Much, much different:
1/ interest rate levels at all time lows
2/ inflation volatility (didn’t check, but) likely at all time lows
3/ private and public debt at all time highs
4/ risk asset valuations (credit spreads, equity multiples) at stretched levels in the US particularly

Shorting vol here might be profitable, but you wouldn’t do it with my money.

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