FX options wrap - Priming for event-driven FX volatility
Major events this week include central bank decisions from Japan, the U.S. and the UK; euro zone inflation on Wednesday and monthly U.S. jobs on Friday, which all have the ability to increase FX volatility.
There's been a higher implied volatility risk premium for options that expire after these events, with overnight options set to include the EZ inflation and Bank of Japan from Tuesday.
USD/JPY 1-week at 14.75 and 1-month at 10.85 represent their highest levels since the April 29 BoJ intervention, with a strong volatility premium for USD/JPY downside versus upside strikes. Demand for 150.00 strikes remains popular.
Benchmark 1-month expiry EUR/USD implied volatility hit a new 3-year low at 4.75 on Friday, but regained 5.0 on Monday with spot tests below key 200-dma support at 1.0821. One-week ismeeting demand at 5.5 - 1.0 above last weeks pre Fed inclusion low.
GBP/USD 1-week implied volatility is quoted around 7.0 and 1-week EUR/GBP at 4.5 before Wednesday's BoE decision. Beware some big strikes in the lower/mid 0.84s expiring this week.
AUD/USD 1-month expiry implied volatility has slipped to 8.6 from a 9.0 peak last week as the recent spot slide has stalled. Traders will be wary of Wednesday's Australian CPI and its effect on the Aug 6 RBA policy decision (included within 1-week expiry from Tuesday).
Beware month-end flows and larger G10 FX option strike expiries this week.
For more click on FXBUZ
EUR/GBP FX option strikes expiring July 29 - August 2 https://tmsnrt.rs/4dE0xRF
1-month expiry FXO implied volatility https://tmsnrt.rs/46suOk0
(Richard Pace is a Reuters market analyst. The views expressed are his own)
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