⚠️EUR Implied Vol Tracking Realized: Cable FX Macro
- Rosbel Durán
- Sep 15, 2022
- 1 min read
EUR/USD 1w implied volatility tenor now covers the FOMC September monetary policy decision, last tick sees 12.485%, up 292bps on the day
The equivalent tenor in realized volatility reads at 14.16%, meaning options in the cross are undervalued and volatility could rise from here into the Fed
The differential has narrowed as implied vol rallies on Thursday session
EUR/USD 25-delda 1w risk reversals remain in favour of the dollar in the 1w tenor, however, last read is at -0.395 vols, close to MTD highs
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