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Oct 11 - 08:55 AM

EUR/USD - Faces Big Options, ECB And Downside Risks

By Richard Pace  —  Oct 11 - 06:55 AM
  • 1-week EUR/USD option implied volatility jumped from 5.5 to 6.5 Wed-Thurs

  • That reflected its inclusion of Thurs ECB and related FX volatility risk

  • However, limited realised spot volatility/expectations saw it revert to 5.85

  • Huge FX option strike expiries limit spot volatility Friday and next week

  • U.S. election risk underpins 1-month implied volatility in the low 7's

  • Option risk reversals show a market bracing for a bigger USD recovery

For more click on FXBUZ

Source:
Refinitiv IFR Research/Market Commentary

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