FX Options Insights 27/01/25
The VIX index surged due to a notable decrease in U.S. tech stocks, prompting a surge in demand for safe-haven currencies like CHF and JPY and their associated currency options. USD/JPY's implied volatility spiked after hitting a low point, with one-week volatility surging from 2.0 to 11.5 and one-month volatility rising from 9.0 to 10.25. Additionally, one-month risk reversals for JPY calls over puts increased significantly from 0.8 to 1.25, indicating a preference for downside protection at the 150.00 level.
In the case of USD/CHF, one-month implied volatility grew to 7.35 from 6.8, accompanied by a rise in the risk reversal premium for CHF calls over puts from 0.15 to 0.55. Cross pairs involving JPY and CHF also experienced a rise in implied volatility, while other currency pairs remained relatively stable, as the weakened USD did not attract safe-haven demand in those instances.
Currencies not correlated with risk saw minimal changes in implied volatility, having met demand following losses post-President Donald Trump's inauguration. This week's focus on key data releases and central bank statements from Canada, the U.S., and the eurozone is fuelling short-term implied volatility.
EUR/USD's one-month implied volatility moved between 7.55 and 7.6 on Monday, rebounding from last week's decline. Market movements indicate the potential for further upward movement towards 1.0900 if critical resistance levels are surpassed. However, policy discrepancies are expected to curb overall gains. Demand for EUR/USD risk reversals is on the rise, especially for EUR puts/USD calls, serving as a hedge against possible spot market losses.FX Options Insights 27/01/25
FX Options Insights 27/01/25
The VIX index surged due to a notable decrease in U.S. tech stocks, prompting a surge in demand for safe-haven currencies like CHF and JPY and their associated currency options. USD/JPY's implied volatility spiked after hitting a low point, with one-week volatility surging from 2.0 to 11.5 and one-month volatility rising from 9.0 to 10.25. Additionally, one-month risk reversals for JPY calls over puts increased significantly from 0.8 to 1.25, indicating a preference for downside protection at the 150.00 level.
In the case of USD/CHF, one-month implied volatility grew to 7.35 from 6.8, accompanied by a rise in the risk reversal premium for CHF calls over puts from 0.15 to 0.55. Cross pairs involving JPY and CHF also experienced a rise in implied volatility, while other currency pairs remained relatively stable, as the weakened USD did not attract safe-haven demand in those instances.
Currencies not correlated with risk saw minimal changes in implied volatility, having met demand following losses post-President Donald Trump's inauguration. This week's focus on key data releases and central bank statements from Canada, the U.S., and the eurozone is fuelling short-term implied volatility.
EUR/USD's one-month implied volatility moved between 7.55 and 7.6 on Monday, rebounding from last week's decline. Market movements indicate the potential for further upward movement towards 1.0900 if critical resistance levels are surpassed. However, policy discrepancies are expected to curb overall gains. Demand for EUR/USD risk reversals is on the rise, especially for EUR puts/USD calls, serving as a hedge against possible spot market losses.Publication date:
2025-01-27 23:11:57 (GMT)
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