Applications

Common practical uses in treasury, risk, and macro research.

Corporate Treasury

• Budgeting hedge costs: implied vol often correlates with option premium levels.
• Policy thresholds: define “high vol” states that trigger hedge reviews.

Risk & Portfolio Management

• Position sizing: reduce gross exposure when volatility regimes change.
• Stress testing: map historical high-EVI regimes to drawdown scenarios.
• Liquidity planning: FX volatility spikes can coincide with wider spreads.

Macro Research

• Policy transmission: relate EVI shifts to rate differentials and expectations.
• Capital flows: elevated FX vol can coincide with funding stress and deleveraging.

Index Variants

Because “Exchange Volatility Index” is a family label, common variants include:

• Major FX EVI: G10 basket focused.
• EM FX EVI: emerging markets basket.
• Single-pair EVI: one pair with a standard horizon (e.g., 1M implied).
• Event EVI: short-horizon measure around scheduled events (e.g., central bank days).

If you publish an EVI variant, document the construction choices explicitly so others can replicate it.