Making amends for seasonal trends

Background: In a report published by the FX options trading currency relative value group at Deutsche Bank on July 21, as a follow-up to a similar report published by the group last summer, attention is called to the seasonal trends in the implied volatility derived from options trading in the foreign exchange markets, highlighting the tendency for implied volatility to fall in summer before rising with the approach of autumn.

An examination of volatility reveals a large decline in both implied

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