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Jan 16 - 07:24 AM
EUR/USD - If EUR/USD Rises, Option Mkt Fears And Hedging Costs May Climb
First appeared on eFXplus on Jan 16 - 05:05 AM
  • EUR/USD's fall from Dec 31 1.1240 peak was matched by 1mth implied vol drop

  • Subsequent recovery from Jan 10 1.1086 (EBS) low saw 1mth vol stabilise

  • The positive correlation between EUR/USD, 1mth implied volatility persists

  • 30/60-day log correlations between EUR/USD and 1mth atm is +0.65/+0.53

  • EUR/USD bulls look set to charge at key Fibo en route to 1.1200 nL1N29L054

  • Therefore, if there a bigger gains in EUR/USD, 1mth implied atm could rise

  • ECB and Fed flash onto the short-dated EUR/USD options radar nL1N29L05V

EUR/USD vs 1mth Implied Volatility Chart: Click here

Refinitiv IFR Research/Market Commentary


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