Most major developed and emerging currencies saw their volatilities decline last week, but the British pound remained the riskiest developed currency, its volatility surpassing even that of a number of emerging currencies. The pound wavered last week as the UK Parliament endorsed the terms of a Brexit agreement, but rejected Prime Minister Boris Johnson’s accelerated timetable. All that said, the British currency’s risk remained relatively flat for the week. The pound has been the riskiest developed currency in October, its risk rising 60 basis points since the end of September.
The pound became riskier than even some emerging market currencies, including the Mexican peso, Korean won, and Indian Rupee, to name a few. However, the current level of the pound’s volatility (8.2%) is much lower than the peak of 18% seen immediately after the Brexit referendum in 2016.
See graph from the Equity Risk Monitors as of 24 October 2019: