Explore eFXplus Derived Data That Drive Results
A Data Partner of:
Refinitiv
Jul 21 - 04:55 AM

EUR/USD - Options Flag Thursdays ECB Risk Premium

By Richard Pace  —  Jul 21 - 02:40 AM
  • Overnight option expiry now Thursday 10-am New York - gets ECB

  • EUR/USD overnight expiry implied volatility up 2.0 since Tuesday - now 9.75

  • Additional premium not excessive, but does flag increased volatility risk

  • 9.75 implied vol for straddle has break-even $50-pips in either direction

  • That's up from around $40-pips before capturing the ECB

  • Broader EUR/USD implied vol gains tame compared with other pairs this week

  • Risk reversals show small additional premium for EUR puts (downside strikes)

  • Options not ruling out further spot weakness, but expecting a slow decline

  • Related nL1N2OW0XB



For more click on FXBUZ


Overnight expiry EUR/USD implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

Subscription

  • eFXplus
  • End-user license agreement (EULA)

About

  • About
  • Contact Us

Legal

  • Terms of Service
  • Privacy Policy
  • Disclaimer
© 2021 eFXdata · All Rights Reserved
!