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Sep 09 - 03:55 AM

EUR/USD - Options Flag ECB Risk - It's High

By Richard Pace  —  Sep 09 - 02:15 AM
  • Overnight options now expire Thursday at 10-am New York, so capture ECB

  • Big jump in premium since yesterday to reflect increased FX volatility risk

  • O/n implied volatility highest since Fed Powell's JH speech Aug 27

  • Implied volatility gauges future actual volatility, determines premium

  • Jumps from 10.0 Tues to 14.5 Wed's - straddle premium 71 pips from 49 pips

  • That's how many pips holders must capture in either direction to break-even


EUR/USD overnight implied volatility - Click here

Source:
Refinitiv IFR Research/Market Commentary

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