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Nov 25 - 11:55 AM

EUR/USD - FX Options Wrap - Premium Decay, EUR/USD Vol Drop, Lira Value

By Richard Pace  —  Nov 25 - 09:46 AM

The U.S. holiday limits activity and weighs on shorter-dated expiry implied volatility, but 1-month contracts are also suffering from the typical premium decay concerns as expiry dates roll over the Christmas holidays. nL1N2SG0I6

EUR/USD 1-month implied volatility has seen a substantial 1.0 drop from midweek and 2021 highs around 7.0, with 3-month to 6.15 from highs since March at 6.4.
Losses could also reflect concerns that the recent EUR/USD slide is running out of steam, which can present dip buying opportunities to cover volatility and downside risk if that is not the case. nL1N2SG0SUnL1N2SG0SU

GBP/USD threatens 1.3300 barriers and more potential downside, but recent implied volatility gains have peaked there too.
Likewise for USD/JPY, while 1-month risk reversals are yet to adopt a JPY call/USD put (topside) volatility premium, which may change if 116 barriers break.

This week's lira drop to record lows lifted USD/TRY implied volatility close to previous record highs, but a huge spike in actual volatility highlights the recent value potential for volatility traders. nL1N2SG0DA

For more click on FXBUZ

Benchmark 1-month expiry option implied volatility Click here

Refinitiv IFR Research/Market Commentary


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