top of page

⚠️EUR/USD Volatility Relative Premium At Highest 2-Years: Cable FX Macro

**As seen in Macro Walk report 11/11/2022, subscribe at

  • Demand for front-end volatility in EUR has remained stable after this week's moves. The latest read on 1-week implied vol in the pair stands at 12.44%, flat over the last 5-days

  • Historic volatility for the tenor ticks at 16.08% and stands off highs seen earlier in the week, this took the relative premium in favour of realized vol to lowest since March 2020

  • Implied/Historic volatility premium in favour of the latter stands at 364 basis points, the difference has never been this large during the post-pandemic period

  • Another way to express the extreme standing of the differential is the average since late 2019, this has been 13bps in favour of realized vol. At 364bps, the current premium is 2.6 standard deviations away from its mean



bottom of page