BUZZ-FX options wrap - Central banks and Russia threat boost prices

Reuters

2024-11-19

After easing from peaks amid a slight decline in demand for USD and USD calls, FX option implied volatility got a renewed boost on Tuesday from the inclusion of major central bank meetings on a key expiry date and risk-aversion sparked by news from Russia.

Having moved to Dec. 19, the benchmark 1-month option expiry now includes policy announcements from the U.S., Britain and Japan. Related USD vs G10 FX implied volatility gains were fairly modest and averaged around 0.4.

However, USD/JPY 1-month implied volatility recovered all of Monday's post Bank of Japan Ueda speech losses - regaining 11.3 from 10.35 and suggesting a greater FX volatility risk involving the BoJ.

News headlines covering rising tensions with Russia ignited risk aversion in early London and gave a fresh boost to JPY, USD and broader implied volatility.

One-month USD/JPY saw the biggest gains from 11.2-11.9 and was the slowest to ease thereafter, while its downside strike premium extended gains over upside strikes.

EUR/USD 1-month rose from 7.65 to 8.05 and 1-month AUD/USD implied volatility from 9.75 to 10.0, which weren't far from the early central bank-induced peaks.

There's a huge amount of soon-to-expire EUR/USD option strikes and related hedging flows to help contain EUR/USD before Friday's key PMI data. Dealers are said to be long of EUR/USD downside strikes, much of it via exotic/barrier options below 1.0500.

For more click on

<^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ 1-month expiry FXO implied volatility USD/JPY 1-month expiry 25D risk reversal

^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^>

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

((Richard.Pace@Thomsonreuters.com))

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Related USD vs G10 FX implied volatility gains were fairly modest and averaged around 0.4. </p><p>   However, USD/JPY 1-month implied volatility recovered all of Monday's post Bank of Japan Ueda speech losses - regaining 11.3 from 10.35 and suggesting a greater FX volatility risk involving the BoJ. </p><p>   News headlines covering rising tensions with Russia ignited risk aversion in early London and gave a fresh boost to JPY, USD and broader implied volatility. </p><p>   One-month USD/JPY saw the biggest gains from 11.2-11.9 and was the slowest to ease thereafter, while its downside strike premium extended gains over upside strikes. </p><p>   EUR/USD 1-month rose from 7.65 to 8.05 and 1-month AUD/USD implied volatility from 9.75 to 10.0, which weren't far from the early central bank-induced peaks.</p><p>   There's a huge amount of soon-to-expire EUR/USD option strikes and related hedging flows to help contain EUR/USD before Friday's key PMI data. Dealers are said to be long of EUR/USD downside strikes, much of it via exotic/barrier options below 1.0500.</p><p>   For more click on   </p><p>    &lt;^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ 1-month expiry FXO implied volatility     USD/JPY 1-month expiry 25D risk reversal    </p><p>   ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^&gt;</p><p>(Richard Pace is a Reuters market analyst. The views expressed are his own)</p><p>((Richard.Pace@Thomsonreuters.com))</p></body></html>\n\n</article>\n</div>\n</body>\n</html>\n","isBrief":false,"type":0,"news_type":1,"symbol":"EUO","symbol_name":"欧元ETF-ProShares两倍做空","start_time":0,"source_url":"https://api.rkd.refinitiv.com/api/News/News.svc/REST/News_1/RetrieveStoryML_1","article_id":"2484792851","we_media_id":"1036604489","thumbnails":[],"rights":null,"url":"https://stock-news.laohu8.com/highlight/detail?id=2484792851","pubTimestamp":1732027307,"columns":[],"sourceInfo":null,"weMediaInfo":{"media_name":"Reuters","introduction":"Reuters.com brings you the latest news from around the world, covering breaking news in markets, business, politics, entertainment and technology","home_visible":1,"id":"1036604489","head_image":"https://static.tigerbbs.com/443ce19704621c837795676028cec868"},"summary":"After easing from peaks amid a slight decline in demand for USD and USD calls, FX option implied volatility got a renewed boost on Tuesday from the inclusion of major central bank meetings on a key ex","collect":0,"end_time":0,"defaultTopTitle":"","property":[],"viewcount":null,"language":"en","relate_stocks":{"EUO":"欧元ETF-ProShares两倍做空","FXA":"澳元ETF-CurrencyShares","YCS":"日元ETF-ProShares两倍做空","FXY":"日元ETF-CurrencyShares","FXE":"欧元做多ETF-CurrencyShares","CYB":"人民币ETF-WisdomTree Dreyfus","FXB":"英镑ETF-CurrencyShares","FXC":"加元ETF-CurrencyShares"},"translate_title":"BUZZ-外汇期权总结-央行和俄罗斯威胁推高价格","themeId":null,"isJumpTheme":false,"ttsUrl":null,"symbols_score_info":{"CYB":0.6,"EUO":0.6,"AUDmain":0.9,"CADmain":0.9,"EURmain":0.9,"GBPmain":0.9,"JPYmain":0.9,"MAUDmain":0.6,"MEURmain":0.6,"MGBPmain":0.6,"UCmain":0.9,"FXA":0.6,"FXB":0.6,"FXC":0.6,"FXE":0.6,"FXY":0.6,"YCS":0.6},"content_text":"After easing from peaks amid a slight decline in demand for USD and USD calls, FX option implied volatility got a renewed boost on Tuesday from the inclusion of major central bank meetings on a key expiry date and risk-aversion sparked by news from Russia.   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