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Apr 25 - 07:55 AM

EUR/USD - Option Premiums Reach An Equilibrium

By Richard Pace  —  Apr 25 - 05:50 AM
  • FX option implied volatility meets demand after setbacks from recent highs

  • Benchmark 1-month expiry EUR/USD paid 5.9-5.95 early Thursday

  • Contract up from late 2021 lows at 4.9 late March to 7.15 mid April high

  • Mid-east related risk aversion and USD gains lifted implied vol/demand

  • 1-month daily realised vol (fair value measure) is currently 6.2

  • 3-month and 1-year implied vols also half-way between recent highs and lows

  • 1-week expiry implied vol elevated by May 1 FOMC inclusion nL2N3GY0M6

  • Focus on JPY and BoJ intervention risk on Friday nL2N3GY0P9nL2N3GY0TW

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


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