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Aug 27 - 04:55 AM

EUR/USD - Options Show Expected Spot Reaction To Fed Powell

By Richard Pace  —  Aug 27 - 02:50 AM
  • Overnight option implied volatility gets Fed's Powell and other CB speakers

  • Much higher - 14.5 vs 9.75 prior - flags increased actual volatility risk

  • Premium for simple vanilla straddle now 71 from 48 pips Tues (pre Powell)

  • Option holders must capture 71 pips in either direction to break-even

  • Option flows show actual volatility concerns outweigh directional risk

  • However, need to protect against USD weakness slightly outweighs strength


Overnight expiry EUR/USD implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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