JPY, EUR: The Signal For The Spike In VIX - TD

TD Research discusses the impact of the recent spike in the VIX on JPY and EUR.

To explore that, TD shows how EUR and JPY react on a rolling 12m betas of the VIX.

TD makes the following 2 observations: 

1- JPY is a consistent safe haven in G10FX. The beta remains positive throughout the sample, indicating that when vol rises so does the JPY.

2- The EUR shares a mix of a high-beta and a safe haven and as such EUR will rally on US-inspired vol.

EUR/USD is trading circa 1.1103 and USD/JPY circa 111.15 as of writing. 

Source: TD Securities Research