FX options wrap - Fed risk, appeal, Brexit, JPY digital, RBNZ
FX option implied volatility continues to drift lower amid a lack of FX realised volatility, which should serve to enhance the appeal of FX carry trades.
Benchmark 1-month expiry EUR/USD implied volatility eyes 3-year lows at 4.9 4.9 and 1-month GBP/USD eyes its post Brexit lows from May and March at 5.5. Even 1-month expiry USD/JPY implied volatility has fallen from 10.4 to 8.8 in a week as spot is drawn to alleged 161.00 digital option expiries.
Those looking for U.S. Federal Reserve chairman Jerome Powell to reignite FX volatility at his semi annual testimony on Tuesday are likely to be disappointed. Since including the speech, overnight expiry FX option implied volatility has failed to add any event risk premium and overnight EUR/USD has actually traded to a new recent low sub 5.5 (25 USD pips premium).
However, overnight expiry NZD/USD implied volatility is marginally higher since including Wednesday's RBNZ rate announcement, albeit well below prior RBNZ levels.
Broader implied remains well above historic/past realised volatility and fair value levels, suggesting it has more downside potential.
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Overnight expiry NZD/USD FXO implied volatility https://tmsnrt.rs/3XWtMdF
Benchmark 1-month expiry FXO implied volatility https://tmsnrt.rs/4cQiwnk
Overnight expiry FXO implied volatility https://tmsnrt.rs/3WcVBx8
(Richard Pace is a Reuters market analyst. The views expressed are his own)
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