FX Volatility Intelligence
G10 FX Carry Trade Matrix
Every G10 cross in one grid — rate differentials, realized vol, and carry-to-vol from 3M interbank rates.
G10 FX Carry Matrix
Short-rate differential (row minus column). Positive = long row / short column earns carry. Vol = 90-day annualized spot realized vol. Carry/Vol = Sharpe-style ratio (capped ±5). Mixed basis: EUR and GBP are overnight (€STR, SONIA), USD is the 3M bill, the rest are 3M interbank — see rates_meta for each.
| ↓ Long / Short → | NOK | AUD | USD | GBP | NZD | CAD | EUR | SEK | JPY | CHF |
|---|---|---|---|---|---|---|---|---|---|---|
| NOK4.57% | — | +0.11 | +0.76 | +0.84 | +1.89 | +2.30 | +2.38 | +2.62 | +3.30 | +4.62 |
| AUD4.46% | -0.11 | — | +0.65 | +0.73 | +1.78 | +2.19 | +2.27 | +2.51 | +3.19 | +4.50 |
| USD3.81% | -0.76 | -0.65 | — | +0.08 | +1.13 | +1.54 | +1.62 | +1.86 | +2.54 | +3.85 |
| GBP3.73% | -0.84 | -0.73 | -0.08 | — | +1.05 | +1.46 | +1.54 | +1.78 | +2.46 | +3.78 |
| NZD2.68% | -1.89 | -1.78 | -1.13 | -1.05 | — | +0.41 | +0.49 | +0.73 | +1.41 | +2.73 |
| CAD2.27% | -2.30 | -2.19 | -1.54 | -1.46 | -0.41 | — | +0.08 | +0.32 | +1.00 | +2.31 |
| EUR2.19% | -2.38 | -2.27 | -1.62 | -1.54 | -0.49 | -0.08 | — | +0.23 | +0.91 | +2.23 |
| SEK1.95% | -2.62 | -2.51 | -1.86 | -1.78 | -0.73 | -0.32 | -0.23 | — | +0.68 | +2.00 |
| JPY1.27% | -3.30 | -3.19 | -2.54 | -2.46 | -1.41 | -1.00 | -0.91 | -0.68 | — | +1.32 |
| CHF-0.04% | -4.62 | -4.50 | -3.85 | -3.78 | -2.73 | -2.31 | -2.23 | -2.00 | -1.32 | — |
Source: FRED (€STR, SONIA, 3M T-bill, OECD 3M interbank) · 2026-07-28T05:05:45Z
Short rate by currency (FRED (€STR, SONIA, 3M T-bill, OECD 3M interbank)). NOK 4.57%; AUD 4.46%; USD 3.81%; GBP 3.73%; NZD 2.68%; CAD 2.27%; EUR 2.19%; SEK 1.95%; JPY 1.27%; CHF -0.04%. highest NOK 4.57%; lowest CHF -0.04%.Top 10 Carry Trades
Best long/short cross-currency carry ranked by 3M rate differential. Long row vs short column.
Risk-Adjusted
Carry per 1% of Vol
Carry divided by 3-month realized FX spot volatility. Higher = more carry per unit of risk. Capped at ±5.
| NOK | AUD | USD | GBP | CAD | EUR | SEK | JPY | CHF | |
|---|---|---|---|---|---|---|---|---|---|
| NOK | — | +0.02 | +0.09 | +0.12 | +0.35 | +0.36 | +0.31 | +0.35 | +0.61 |
| AUD | -0.02 | — | +0.08 | +0.15 | +0.37 | +0.48 | +0.42 | +0.44 | +0.88 |
| USD | -0.09 | -0.08 | — | +0.01 | +0.38 | +0.30 | +0.18 | +0.40 | +0.54 |
| GBP | -0.12 | -0.15 | -0.01 | — | +0.30 | +0.43 | +0.30 | +0.40 | +0.93 |
| CAD | -0.35 | -0.37 | -0.38 | -0.30 | — | +0.02 | +0.04 | +0.17 | +0.47 |
| EUR | -0.36 | -0.48 | -0.30 | -0.43 | -0.02 | — | +0.04 | +0.17 | +0.62 |
| SEK | -0.31 | -0.42 | -0.18 | -0.30 | -0.04 | -0.04 | — | +0.08 | +0.35 |
| JPY | -0.35 | -0.44 | -0.40 | -0.40 | -0.17 | -0.17 | -0.08 | — | +0.24 |
| CHF | -0.61 | -0.88 | -0.54 | -0.93 | -0.47 | -0.62 | -0.35 | -0.24 | — |
| Average | -0.28 | -0.35 | -0.21 | -0.26 | +0.09 | +0.09 | +0.11 | +0.22 | +0.58 |
Source: FRED (€STR, SONIA, 3M T-bill, OECD 3M interbank). Carry divided by 3-month realized FX spot volatility. Higher = more carry per unit of risk. Capped at ±5.
FX Carry per Vol | Unit: carry/vol | NOK: NOK=n/a, AUD=0.02, USD=0.09, GBP=0.12, CAD=0.35, EUR=0.36, SEK=0.31, JPY=0.35, CHF=0.61 | AUD: NOK=-0.02, AUD=n/a, USD=0.08, GBP=0.15, CAD=0.37, EUR=0.48, SEK=0.42, JPY=0.44, CHF=0.88 | USD: NOK=-0.09, AUD=-0.08, USD=n/a, GBP=0.01, CAD=0.38, EUR=0.3, SEK=0.18, JPY=0.4, CHF=0.54 | GBP: NOK=-0.12, AUD=-0.15, USD=-0.01, GBP=n/a, CAD=0.3, EUR=0.43, SEK=0.3, JPY=0.4, CHF=0.93 | CAD: NOK=-0.35, AUD=-0.37, USD=-0.38, GBP=-0.3, CAD=n/a, EUR=0.02, SEK=0.04, JPY=0.17, CHF=0.47 | EUR: NOK=-0.36, AUD=-0.48, USD=-0.3, GBP=-0.43, CAD=-0.02, EUR=n/a, SEK=0.04, JPY=0.17, CHF=0.62 | SEK: NOK=-0.31, AUD=-0.42, USD=-0.18, GBP=-0.3, CAD=-0.04, EUR=-0.04, SEK=n/a, JPY=0.08, CHF=0.35 | JPY: NOK=-0.35, AUD=-0.44, USD=-0.4, GBP=-0.4, CAD=-0.17, EUR=-0.17, SEK=-0.08, JPY=n/a, CHF=0.24 | CHF: NOK=-0.61, AUD=-0.88, USD=-0.54, GBP=-0.93, CAD=-0.47, EUR=-0.62, SEK=-0.35, JPY=-0.24, CHF=n/a | Average: NOK=-0.28, AUD=-0.35, USD=-0.21, GBP=-0.26, CAD=0.09, EUR=0.09, SEK=0.11, JPY=0.22, CHF=0.58 | Updated: 2026-07-28T09:15:10ZAbout the carry matrix
The matrix shows the interest rate differential for every G10 currency cross in a single 9×9 grid, built from 3-month interbank rates. Positive cells are crosses where the long currency yields more than the short — the raw fuel of the FX carry trade. Companion grids show each cross's realized volatility and the carry-to-vol ratio, so you can separate crosses that pay well from crosses that merely pay.
Carry is one of the oldest and most persistent FX strategies: borrow the low-yielder, own the high-yielder, collect the differential. Its known failure mode is that returns accrue slowly and reverse violently in risk-off episodes — which is why the matrix pairs every differential with the volatility you have to hold to earn it.
Frequently asked questions
What is the FX carry trade?
The carry trade is borrowing (selling) a low-interest-rate currency and investing in (buying) a high-interest-rate one, earning the rate differential as long as the exchange rate doesn't move against you by more than the carry. It has historically been profitable on average but suffers sharp drawdowns in risk-off markets when carry positions unwind together.
Why divide carry by volatility?
A 3% rate differential means something different in a pair that moves 5% a year versus one that moves 15%. Carry-to-vol normalizes the reward by the risk, ranking crosses by how much differential you earn per unit of volatility — the same logic as a Sharpe ratio.
Realized vol computed from daily FX spot history (Twelve Data, with yfinance and FRED fallback). Carry from FRED OECD MEI 3M interbank rates. Positioning from CFTC Traders in Financial Futures (TFF) — free weekly data. Implied vol surface requires user-supplied OTC quotes.
