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Oct 16 - 03:55 AM

EUR/USD - These Options Show Extent Of ECB Risk To EUR/USD

By Richard Pace  —  Oct 16 - 02:30 AM
  • Overnight options now expire 10-am New York/3-pm London on Thursday

  • They now include ECB policy announcement where a 25bps cut is expected

  • Overnight EUR/USD implied volatility has increased to 9.75 from 6.5

  • Implied volatility flags FX realised volatility expectations

  • Premium/break-even from 30 USD pips to 44 USD pips in either direction

  • Gains are far from excessive but clearly expecting some related volatility

  • Other dates remain subdued as EUR/USD volatility remains limited

  • FX Options wrap nL1N3LR0KS

For more click on FXBUZ

Source:
Refinitiv IFR Research/Market Commentary

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