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Jul 28 - 04:55 AM

EUR/USD - Options On High Alert For Post Fed Volatility

By Richard Pace  —  Jul 28 - 02:38 AM
  • EUR/USD option implied volatility much higher as FOMC looms Wednesday

  • Seems traders don't want to be short of short term volatility protection

  • Overnight expiry now captures FOMC - was 7.0 Tuesday, currently 11.0

  • Premium for straddle gains $20-pips, to $54-pips in either direction

  • 1-week is 6.25 from 5.8 and 1-month tests above last weeks 5.6 peak from 5.2

  • However, 1-month expiry risk reversals lacking any real directional premium

  • Shows market currently more concerned about FX volatility than direction

  • Huge expiries around 1.1800 might help contain FX pre Fed nL1N2P40AU



For more click on FXBUZ


EUR/USD overnight expiry implied volatility Click here

EUR/USD 1-3 month expiry option risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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