• FX options thrive on FX volatility and rapid directional moves

• Implied volatility gauges that risk and it fears plenty for USD/CAD

• Market counting down to Trumps threatened Canadian Tariffs on Feb 1

• 1-week-1-month USD/CAD implied volatility extends recent and 2-year highs

• As do CAD puts over call vol premiums as shown by risk reversals contracts

• Traders said to be paying 22.0 implied volatility for Monday expiry options

• Premium/break-even at 22.0 is a massive 264 CAD pips in either direction

• Related comment
USD/CAD 1-week and 1-month expiry FXO implied volatility


1-Week and 1-month expiry USD/CAD risk reversals

(Richard Pace is a Reuters market analyst. The views expressed are his own)