The European Central Bank's policy announcement and press conference are the focus for euro traders Thursday, but consensus suggests a significant change in policy is unlikely.
ECB members have been vocal about the recent rise in yields, so ECB President Christine Lagarde is sure to touch on this, although refrain from any concrete action.
She could hint at stepping up the rate of PEPP purchases and extending them beyond March 2022, or perhaps put more emphasis on a rate cut as a possible tool.
FX option implied volatility is a dealer's gauge of expected actual volatility over a given time -- and overnight (next working day at 10 a.m.
New York) expiry implied volatility includes the ECB.
Overnight expiry implied volatility at 10.5 is around 2.5 above a longer- term daily average, so although it contains some event risk premium, it's hardly excessive.
The break-even for a simple vanilla straddle is $52 pips in either direction nL1N2L90G6
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EUR/USD overnight expiry implied volatility Click here