Where Can Mexico Go?

Volatility is the highest in the decade (three-month implied volatility is above 25.5%, and one-month is near 38%). Using the volatility to a band around spot implies around a 75% probability that it is in a range of roughly MXN22.00-MXN28.50 pin one month and MXN21.50-MXN29.50 in three months. The risks are aligned to the downside for the peso, and given multi-dimension nature of the shock, a move toward MXN30-MXN35 is possible, especially if the virus spreads and is prolonged.  

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Read more by Marc on his site Marc to Market.

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