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Apr 21 - 07:55 AM

EUR/USD - 2-Week Expiry EUR/USD Options Flag Extent Of Fed And ECB Risk

By Richard Pace  —  Apr 21 - 05:40 AM
  • 2-week expiry captured May 3/4 Fed/ECB policy announcements from Thursday

  • Related EUR/USD implied volatility higher to flag additional volatility risk

  • From 2023 lows around 7.0 prior, 2-week implied vol now quoted around 8.4

  • 2-week daily historic volatility (fair value measure) is 7.5

  • Premiums not excessive, but do warn traders against complacency

  • Huge 40-billion euros of 1.09-1.11 strike expiries prior, can help contain

  • 1-month expiry implied volatility at long term low may be potential value

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


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