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Oct 22 - 04:55 AM

EUR/USD - ECB And Fed On Radar, But EUR/USD Options Get Cheaper - Telling

By Richard Pace  —  Oct 22 - 02:40 AM
  • Falling EUR/USD implied volatility makes options cheaper

  • Pricing suggests less expected actual volatility/break-out risk

  • Benchmark 1-month 4.8 vs 5.3 last week, recent pandemic-era low is 4.5

  • Additional risk premium for downside strikes vs topside, is also falling

  • Reflects lower risk of well touted 1.1500 barriers breaking anytime soon

  • 1-2-week expiry options slower to fall - 1-week gets ECB, and 2-week FOMC

  • However, those premiums not excessive, but recognise event volatility risk

  • Big 1.1600 and 1.1650 FX option strike expiries may contain Fri nL1N2RI0E4

  • Related comments nL1N2RH0FUnL1N2RF0H9



For more click on FXBUZ


1-2-week and 1-month EUR/USD option implied volatility Click here

EUR/USD 1-3 month expiry option risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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