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Jun 03 - 03:55 AM

EUR/USD - FX Options Flag Extent Of Impending EUR/USD Event Risk

By Richard Pace  —  Jun 03 - 02:23 AM
  • Options thrive on FX volatility, they use implied volatility gauge how much

  • Overnight expiry now Friday 10-am New York - gets Thurs data, and Fri NFP

  • Overnight implied volatility jumps from 7.5 to 10.0 - high since April 21

  • Not huge when compared to 6.0 vol gain pre March Fed, but not insignificant

  • Premium/break-even for straddle $51-pips from $38-pips in either direction

  • Traders may prefer 1-week expiry - jumps 1.0 to 6.75 - gets ECB pol decision

  • However, lack of recent actual volatility leaves buyers wary

  • If actual underperforms implied volatility, it wont cover the premium

  • EUR/USD topside progress wont be easy nL2N2NJ0BA. Related nL2N2NL07G




For more click on FXBUZ


EUR/USD overnight expiry implied volatility Click here

EUR/USD 1-week implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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