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Sep 02 - 02:55 AM

EUR/USD - Options Flag Extent Of NFP And ECB Risk

By Richard Pace  —  Sep 02 - 02:23 AM
  • Overnight option expiry now captures Aug NFP, and 1-week gets Thursday's ECB

  • Related implied volatility gains show extent of additional risk premium

  • Overnight up 2.0 to 9.0 - not a huge addition, but higher than pre July NFP

  • Vanilla straddle break-even now $44-pips, from $34-pips in either direction

  • 1-week gains tame at 5.75 vs 5.4 Wed - ECB not expected to ignite volatility

  • Related nL1N2Q3105nL1N2Q30E3

For more click on FXBUZ


Overnight and 1-week expiry EUR/USD implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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