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