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Dynamic of FX Implied Volatility Surface
I am interseted in finding out dynamic of FX implied volatility surface. In particular, I want to know how the skewness of the implied vol surface changes over time. The question I would like to answer is that whether a 1% shift in the ATM vol would result in a 1% parrallel shift of the entire vol surface or not.
Dynamic of FX Implied Volatility Surface
apparently / usually / roughly speaking 70% parallel, 20% twist, 10% convexity movements of vol surface (at least in equity). FX might be a bit different in terms of principal components. googling "dynamics implied volatility surface" does help.