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OPTIONS: Election Impact Clear to See as USD/MXN Vols Surge to Record Levels

OPTIONS
BulletMarketsForeign Exchange Bullets
  • Overnight FX options contracts now capture the immediate outcome of the election, and the impact is clear to see - USD vols are well bid, with the currencies seen as most exposed printing a considerable risk premia.
  • As a result, USD/MXN overnight implied has cleared 100 points - that's an all-time high for the contract (other notable prints: 95 points mid-COVID, 96 points on Trump's '16 election and ~100 points in the '08 GFC). This implies a ~4% swing in USD/MXN on the results, and an implied range of approximately 19.35 - 21.05.
  • It's not just USD vols that are being marked higher - haven currency vols including CHF and JPY are bid, meaning hedging markets are capturing potential fallout outside of the greenback. EUR/CHF and GBP/JPY overnight vols have added 6 points and 10 points respectively.
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  • Overnight FX options contracts now capture the immediate outcome of the election, and the impact is clear to see - USD vols are well bid, with the currencies seen as most exposed printing a considerable risk premia.
  • As a result, USD/MXN overnight implied has cleared 100 points - that's an all-time high for the contract (other notable prints: 95 points mid-COVID, 96 points on Trump's '16 election and ~100 points in the '08 GFC). This implies a ~4% swing in USD/MXN on the results, and an implied range of approximately 19.35 - 21.05.
  • It's not just USD vols that are being marked higher - haven currency vols including CHF and JPY are bid, meaning hedging markets are capturing potential fallout outside of the greenback. EUR/CHF and GBP/JPY overnight vols have added 6 points and 10 points respectively.