Derived Data That Drive Results
By Richard Pace — Oct 16 - 03:35 AM
Broader FX option implied volatility in demand and regains recent highs
EUR/CHF implied volatility and its downside strikes being well sought
Price action typical of risk aversion and worries about wider FX outlook
EUR/CHF FX option implied volatility new highs since March 2023
1-month expiry risk reversals show jump in vol premium for downside strikes
CHF call over put implied vol premium 0.25 to 0.6 since Fri - high since Apr
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1-3-month expiry EUR/CHF FXO implied volatility Click here
EUR/CHF 1-month expiry 25 delta risk reversals Click here
Source:
Refinitiv IFR Research/Market Commentary
