The Triennial Rebalancing of the VXY Indices: 2026 Edition: VXY Weights Unchanged. Introducing Our New Equal-Weighted FX Volatility Tickers

研报英文原文证据摘录

J P M O R G A N

Global Markets Strategy

06 August 2026

The Triennial Rebalancing of the

VXY Indices: 2026 Edition

VXY Weights Unchanged. Introducing Our New EqualWeighted FX Volatility Tickers

2026 VXY weights (Table 3) will remain unchanged vs. the 2023 weights.

The FX options turnover BIS data, collected last April, was strongly affected

by Liberation Day, with e.g. EUR volume jumping around 3x, and JPY and

CNY turnover up significantly as well, prompting us to keep weights

unchanged.

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We introduce a new equal-weighted FX Volatility index (EW-FXV) to

complement existing VXY measures. The methodology allows us to introduce

EUR and JPY cross-vol indices, with a USD-base maintained for consistency.

The EW-FXV generally trades at higher volatility levels than the liquidityweighted VXY indices, reflecting the smaller influence of lower-volatility

currencies such as EUR and CNH. On average, 3M ATM volatility is 0.50 vols

higher in G10, 0.55 vols higher in EM, and 0.78 vols higher in the Global

basket. The differential typically compresses during risk-off episodes and

widens in risk-on environments as higher-beta currencies maintain higher

volatility levels.

In 2006, J.P. Morgan introduced the VXY and EM-VXY, the industry's first

benchmarks for implied FX volatility in G10 and emerging markets. VXY

Global followed in 2011 to track volatility across all currencies. In 2020, the

set was expanded to include the full term structure for all three ATM baskets

at 1M, 3M, 6M, 9M, and 12M tenors following the same established

methodology (liquidity-weighted averages) and using the same weights as for

the 3M. In 2023, we appended VXY-weighted baskets of 25-delta riskreversals and butterflies, effectively expanding the offering to vol surfaces, as

well.

Figure 1: Weighted VXY-GL vs. USD EW-FXV.

USD denominated. EW-FXV is usually 0.78 vols higher

than VXY-GL.

Figure 2: The USD and EUR EW-FXVs

demonstrate similar signaling to each other,

whereas JPY tends to price 2vols higher.

Source: J.P. Morgan.