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Oct 17 - 07:24 AM
EUR/USD - COMMENT-ECB And Fed Are Big Risk Blips On EUR/USD Options Radar
First appeared on eFXplus on Oct 17 - 05:00 AM

One-week option expiry is now 10 a.m.
New York cut on October 24, so it captures next Thursday's European Central Bank rate decision.
Implied vols are higher in EUR-related pairs to highlight the volatility risk.
One-week EUR/USD vol has jumped from 5.25 to 6.75, which is a 20-pip addition to its premium/break-even -- now 83 pips.
It jumped a similar amount when it first captured the Sept.
12 ECB, which proved justified given the subsequent EUR/USD reaction after the central bank decision.
EUR/USD traded a 1.0927-1.1087 range that day and saw one-week vol reach highs around 9.0 before dropping below 5.0.
The two-week EUR/USD implied vol also rose from 5.5 to 6.25 today, with that expiry now capturing the Oct.
30 Federal Reserve rate decision.
Markets are currently pricing an 85% chance the Fed will cut rates another 0.25% after September's cut to 1.75%-2.0%.
EUR/USD is on alert for more gains, but options expect them to remain a grind before the central bank meetings nL2N272069.

EURUSD 1-2-week vols: Click here

Refinitiv IFR Research/Market Commentary


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