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Dec 19 - 02:55 AM

EUR/USD - Hawkish Fed Surprise Re-Ignites Demand For EUR/USD Options

By Richard Pace  —  Dec 19 - 02:25 AM
  • Overnight expiry option pricing wasn't expecting such a hawkish Fed outcome

  • Overnight expiry implied volatility premium was just 66 USD pips pre Fed

  • EUR/USD slumpeed and implied volatility paid, despite impending X-mas lull

  • Benchmark 1-month jumped 7.5 to 8.0 and is now 7.8, 3-month 7.8 to 8.2

  • 1-year expiry implied vol new long term high 7.9 (was 6.5 pre US election)

  • Many large option strike expiries surround 1.0400 on Thursday nL1N3NK08C

For more click on FXBUZ

Source:
London Stock Exchange Group | Thomson Reuters

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