• CAD option gains reflected severity of recent March 4 tariff deadline

• However, Trump has since shifted implementation date again - now April 2

• Those long of USD/CAD volatility and topside protection instantly unwound

• 1-week implied volatility slumped from 10.0 to 7.0, 1-month 7.5 to 6.85

• Risk reversals have reduced their topside over downside strike premium

• However, topside strikes still quite elevated by comparison to recent lows

• Shows market still wary of further CAD weakness going forward
1-week and 1-month expiry USD/CAD 25 delta risk reversals


1-week and 1-month expiry USD/CAD FXO implied volatility

(Richard Pace is a Reuters market analyst. The views expressed are his own)