March 16, 2023 08:58 GMT
Overnight Vol Premium Holds at YTD Highs Ahead of ECB
- EUR vols remain well elevated ahead of the ECB decision later today, with markets split down the middle on whether the ECB stick to guidance of a 50bps hike, or a slower 25bps step today.
- An overnight EURUSD straddle breaks even on a swing of ~90pips - making for the largest premium since the mid-December Fed and ECB meetings.
- Yesterday's currency volumes were pretty fearsome: M3 EUR futures saw over 350k contracts trade for the first time this year making for cumulative daily activity of over 50% above average.