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