• Huge EUR/USD FX option strikes around 1.0400 expire over coming sessions

• There are 10-billion euros expiring between 1.0350-1.0450 post ECB

• Related hedging is helping to pin EUR/USD to the 1.0400 pivot

• Overnight expiry option premiums not excessive since including Fed and ECB

• Fed now passed and overnight implied volatility slips to 12.5 from 15.0

• It was 11.0 before it included Fed and ECB, so ECB risk premium minimal

• Premium/break-even at 12.5 implied vol is 54 pips in either direction

• One-week through 1-month expiry dates easing - indicative of low volatility

• FX Options wrap
1-week and 1-month expiry EUR/USD FXO implied volatility


EUR/USD FX option strike expiries between Jan 29-Feb7

(Richard Pace is a Reuters market analyst. The views expressed are his own)