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May 01 - 03:55 AM

EUR/USD - FX Options Primed For Fed Driven EUR/USD Volatility

By Richard Pace  —  May 01 - 02:10 AM
  • Overnight FX option expiry now includes the Fed policy decision

  • No change expected, but statement, press conference provide volatility risk

  • Overnight EUR/USD implied volatility jumps from 8.0 on Tuesday to 12.0 Wed

  • Implied volatility gauges realised volatility risk when setting premium

  • Premium/break-even for straddle now 53 vs 35 USD pips in either direction

  • Other expiry dates are underpinned by FED, NFP event risk and firmer USD

  • Benchmark 1-month expiry recovers Monday's 6.1 high vs 5.9 Tuesday

  • FX options wrap - Firmer USD and Fed/NFP risk support vol nL1N3H31KT

For more click on FXBUZ

Source:
Refinitiv IFR Research/Market Commentary

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