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Nov 12 - 06:12 AM
EUR/USD - 1-Month Options Get Boost From Dec Fed And ECB Risk
First appeared on eFXplus on Nov 12 - 03:50 AM
  • EUR/USD 1-month option expiry now Dec. 12, gets Fed and ECB rate meetings

  • Implied vol marked higher to 4.8 from 4.3 (record low is 4.15)

  • Gains highlight the added event risk volatility premium

  • However, any further gains likley limited with spot pinned to tight range

  • Owners need realised volatility to outperform implied, to offset decay costs

  • Realised volatility measures are now trading below implieds

  • Break below big 1.10 barriers can help underpin implied vol nL2N27R04L

EURUSD 1mth vol: Click here

Refinitiv IFR Research/Market Commentary


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