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FX Vols Extend Bounce Off Post-ECB, Fed Bottom

OPTIONS
  • FX Vols marked higher at the beginning of the pre-Christmas week, with the uptick in realized volatility post-ECB, Fed decisions last week working their way through currency markets and helping implied vol measures bounce off bottom.
  • Few risk events this week after the deluge of CB decisions in G10, with EU negotiations over a possible gas price cap a focus for now.
  • More notable option strikes in the pipeline this week are tilted lower for EUR/USD, with decent interest at 1.0410-50 expiring on Dec21, while E1.3bln rolls off at 1.0500 on Dec23.

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