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Jan 17 - 06:55 AM

EUR/USD - BoJ Spillover To EUR/USD Is Surprisingly Low Risk

By Richard Pace  —  Jan 17 - 05:05 AM
  • Overnight USD/JPY expiry option implied volatility is monumentally high

  • Flags BoJ risk premium and expectations for significant USD/JPY volatility

  • However, overnight EUR/USD implied volatility barely moved since BoJ capture

  • 11.5 has premium/break-even of $52-pips in either direction for a straddle

  • That's below the 2023 average and suggests very limited spillover risk

  • Broader option price action suggests EUR/USD is on hold for now nL1N3420HT

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


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