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Jan 04 - 04:55 AM

EUR/USD - Options On High Alert For Friday's U.S. NFP Data

By Richard Pace  —  Jan 04 - 03:05 AM
  • Overnight option expiry now 10-am New York/15.00 GMT Friday - includes NFP

  • Overnight implied volatility adds an additional 3.0 to stand at 13.0

  • Premium break-even up from 45 to 60 USD pips in either direction

  • Highlights event risk premium - market expecting related volatility increase

  • 1-week and 1-month implied vol from 5.0 and 5.9 pre X-mas to 8.5 and 7.3 now

  • EUR/USD spot setback drives demand for options, increased implied volatility

For more click on FXBUZ

Source:
Refinitiv IFR Research/Market Commentary

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