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Sep 08 - 03:55 AM

EUR/USD - ECB On The EUR/USD Options Radar - Shows Expected FX Reaction

By Richard Pace  —  Sep 08 - 02:09 AM
  • Overnight FX options now expire 10-am New York cut Thursday - get ECB

  • U.S. jobs data also in the mix - closely eyed after Friday's NFP miss

  • Implied volatility gauges actual volatility expectations before expiry

  • It's higher, but not by much - 8.25 from 6.75 before ECB capture

  • Straddle premium/break-even now $41-pips from $33-pips in either direction

  • Recall o/n implied vol up from 7.25 to 9.25 when captured Fridays NFP

  • Broader EUR/USD px action still consistent with low volatility/range trade

  • Related comment nL1N2Q90FU

For more click on FXBUZ


EUR/USD overnight expiry implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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