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Nov 27 - 05:00 AM
EUR/USD - Option Volatility The Cheapest Its Ever Been!
First appeared on eFXplus on Nov 27 - 02:40 AM
  • EUR/USD implied volatility record lows, options cheapest they've ever been!

  • That reflects the lack of realised or expected EUR/USD spot volatility

  • Monday vol 2.9, straddle break-even just 30 pips before Mon at 10am NY cut

  • 3-month implied volatility at 4.4 - already 0.4 below previous record low

  • U.S Thanks giving holiday and massive expiries don't help vols nL1N28704U

  • EUR 100-bln expiries 1.09-1.12 range, bulk 1.10-1.11 year end nL1N28606F

  • Record low vols cheapen hedges, and should encourage carry trades

EURUSD option volatility: Click here

EURUSD option expiries: Click here

Refinitiv IFR Research/Market Commentary


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