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Sep 10 - 03:55 AM

EUR/USD - FX Options Highlight Extent Of Expected ECB EUR/USD Volatility

By Richard Pace  —  Sep 10 - 02:10 AM
  • Overnight expiry implied volatility is elevated since capturing ECB

  • Trading around 14.0, from 10.0 before expiry captured the announcement

  • In premium/break-even terms - a straddle is currently 69 pips, from 49 pips

  • That's how many pips holders must capture in either direction, before profit

  • 1-12-month expiry options have seen implied volatility edge lower this week

  • A reflection of recent ranges holding once initial ECB volatility passes

  • Option pricing also shows less risk of s-term gains above 1.20 nL1N2G608G

EUR/USD overnight implied volatility Click here

Refinitiv IFR Research/Market Commentary


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