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Sep 03 - 03:55 AM

EUR/USD - Options Show Extent Of NFP, ECB And U.S. Election Risk

By Richard Pace  —  Sep 03 - 02:20 AM
  • Implied volatility determines future volatility risk and option premium

  • Overnight expiry now gets Fridays U.S NFP data - it's 13.0 vs 11.5 prior

  • Break-even for simple vanilla straddle 64 vs 56 pips in either direction

  • 1-week gets ECB now - jumps from 7.4 Wednesday to 8.7 - 96 to 113 pips

  • 2-month expiry rolls from Nov 2 to Nov 5 - gets U.S. election result

  • Big jump in implied volatility from 7.35 to 8.25 - reflects high risk

  • Broader USD recovery fuelling downside insurance demand/cost nL1N2G005E



EUR/USD implied volatility Click here

overnight expiry EUR/USD implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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