Getting a Read on Mexico’s Election With Volatility Tea Leaves

Mexico’s much anticipated presidential election, which is ­scheduled for July 1, is drawing attention to the currency as well as the candidates.

If you happened to chart the term structure of foreign exchange volatility for the peso in mid-February, say, you might have noticed something interesting. With about five months to go before the voting, there was a pretty substantial peak at the six-month tenor—which, of course, lay on the other side of the election.