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Apr 10 - 03:55 AM

EUR/USD - ECB Boost To U.S. CPI Option Volatility Risk Premium

By Richard Pace  —  Apr 10 - 02:35 AM
  • Overnight expiry EUR/USD option gains limited when first including U.S CPI

  • However, expiry now includes Thurs ECB and boosts volatility risk premium

  • Overnight expiry EUR/USD implied volatility now 11.7 vs 7.5 Tue, 6.5 pre CPI

  • Premium/break-even now 53 USD pips in either direction vs 34 USD pips on Tue

  • The rest of the implied volatility curve better supported, too

  • Benchmark 1-month now 5.7 vs 5.55 on Tues (2-year low 4.9 to 5.8 last week)

  • Risk reversals show market remains more wary of EUR/USD downside vs upside

  • Very big strikes due to expire post CPI nL2N3GJ0A3

For more click on FXBUZ

Source:
Refinitiv IFR Research/Market Commentary

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