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May 20 - 05:55 AM

EUR/USD - FX Options Aren't Betting On EUR/USD Volatility/Breakout

By Richard Pace  —  May 20 - 03:40 AM
  • Implied volatility gauges FX realised volatility/expectations - its very low

  • EUR/USD overnight/next day implied vol 6.0 - break-even just 27 USD pips

  • 1-week expiry implied vol eyes March/2024 lows at 4.0 vs 6.5 pre U.S. CPI

  • 1-month implied vol 5.45 - vs 2yr low 4.9 late Mar and a 7.1 peak in mid Apr

  • Past realised volatility can provide a fair value measure - its heavy too

  • 1-week realised is level with implied in mid 4's. 1-month realised just 4.3

  • A lack of impending data and big expiries can influence/contain FX near term

For more click on FXBUZ

Source:
Refinitiv IFR Research/Market Commentary

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