22 Oct 2015
EUR/USD: Market pricing action in today's ECB meeting - BofAm
FXStreet (Bali) - Bank of America notes that the premium priced into EURUSD and USDJPY vol and skew suggests that the market anticipates further action or hints of action from both the ECB and BOJ meetings.
Key Quotes
"In FX Vol Trader, Chris Xiao highlights that the premium priced into EURUSD and USDJPY vol and skew suggests that the market anticipates further action or hints of action from both meetings. The event premiums, as measured by the implied daily vol capturing the meetings, are elevated relative to the other meetings this year. The premium for EUR and JPY puts as measured by short-dated skew is more pronounced than it was for the average meeting this year."
Key Quotes
"In FX Vol Trader, Chris Xiao highlights that the premium priced into EURUSD and USDJPY vol and skew suggests that the market anticipates further action or hints of action from both meetings. The event premiums, as measured by the implied daily vol capturing the meetings, are elevated relative to the other meetings this year. The premium for EUR and JPY puts as measured by short-dated skew is more pronounced than it was for the average meeting this year."