FX options wrap - Adjusting for calm before possible data storm
There have been some significant changes in FX option premiums over recent sessions amid the strong shifts in risk appetite and unwinding of carry trades.
Implied volatility spiked to new longer-term highs across the board on Monday and despite the subsequent setbacks, it remains above prior levels.
JPY and CHF related options posted some of the biggest implied volatility gains and remain well above their peers, despite the setbacks. USD/JPY 1-month implied volatility reached 16.0 from 11.35 - new highs since January 2023 and is currently around 12.0. USD/CHF 1-month implied volatility reached 10.0 from 7.0 - new highs since March 2023 and its highest premium to 1-month EUR/USD since 2015. Risk reversal contracts saw a huge leap in the implied volatility premium for JPY and CHF calls over puts, too.
EUR/USD 1-month implied volatility jumped from 5.1 to 7.1 but has almost fully reverted as the spot price returns to very familiar levels and near dated expiry risk reversals lack any directional risk premium. There are some huge strikes expiring in EUR/USD and other pairs next week, which might also help to draw and contain FX.
Given the recent FX moves were driven by fears about a potential U.S. recession, markets will be paying particular attention to U.S. data and next week's CPI. Anything outside of forecasts would increase FX volatility and option dealers are wrestling with that threat, while also trying to lessen the daily costs of holding long option positions as risk appetite returns for now.
For more click on FXBUZ
1-month expiry FXO implied volatility https://tmsnrt.rs/46CrFOx
USD/CHF VS EUR/USD 1-month expiry FXO implied volatility https://tmsnrt.rs/3YyD3Je
(Richard Pace is a Reuters market analyst. The views expressed are his own)
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