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Oct 27 - 02:55 AM

USD/CAD - FX Options Flag Expected USD/CAD Reaction To BoC Policy Wednesday

By Richard Pace  —  Oct 27 - 02:23 AM
  • Overnight expiry options now capture Wednesdays BoC policy announcement

  • Implied volatility gauges actual volatility expectations- determines premium

  • It's jumped from 8.0 to 11.25 - warns of increased USD/CAD volatility risk

  • Premium for straddle now 58 from 41 CAD pips in either direction

  • BoC expected to continue taper, but forward guidance will be key

  • Push back against market hike pricing can present opportunity to buy CAD

  • Related comment - Bank of Canada and USD/CAD expectations nL8N2RL5AZ

For more click on FXBUZ


USD/CAD overnight expiry option implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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