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Jan 19 - 08:55 AM

EUR/USD - Options Shrug Off Any Yellen And Italian Political Risk

By Richard Pace  —  Jan 19 - 07:04 AM
  • Options thrive on volatility -measuring expectations with implied volatility

  • However, it's falling across all maturities, even overnight (next day)

  • Overnight implied volatility 7.5- low since late Dec for current time of day

  • Break-even for simple vanilla straddle is $37-pips in either direction

  • Expiry gets Yellen speech - key points already touted by WSJ nFWN2JU0GY

  • Italian government confidence vote moves to senate after win in parliament

  • Loss could dent euro, but option pricing suggests ranges will still prevail

  • Related comments nL1N2JU0GVnL1N2JU0MJ



Overnight (next day) expiry EUR/USD implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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