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Nov 04 - 04:55 AM

EUR/USD - Option Volatility Premium Drops - No Directional Bias

By Richard Pace  —  Nov 04 - 02:35 AM
  • EUR/USD option implied vol flagged extreme volatility risk Tues nL1N2HP0IQ

  • Proved founded as EUR/USD whip-sawed as election results unfolded

  • Implied volatility now falling from Tuesday's extremes across the curve

  • Overnight expiry vol 16.0 vs 23.0, 1-week 10.6 vs 11.5, 1-month 7.7 vs 8.3

  • Still elevated but suggests biggest moves now deemed to have been realised

  • 1-week-1-month option risk reversals show no clear directional bias for now





1-week-1-month EUR/USD risk reversals Click here

Overnight, 1-week, 1-month EUR/USD implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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