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Overnight Vols Run Higher, But Trend is Still Lower Further Up the Curve

EUR
  • No surprise to see a run-up in overnight FX vol as the contracts begin to capture the Fed, ECB, BoE rate decisions in the coming 24 hours. EUR/USD o/n vols are now clear of 20 points, the highest since mid-January and the run-up to the BoJ decision.
  • Vols are comparable to the mid-December rate decision flurry, with markets pricing a near 100 pip range for EURUSD via an ATM straddle.
  • More broadly, vols trended lower through January, likely signalling how well-priced markets are for a 25bps and 50bps by the Fed and ECB respectively.
  • For now, Bulls remain in the driver's seat and support remains intact. Pullbacks are considered corrective with support at 1.0802, the 20-day EMA.
  • Backtesting shows the all-in exponential moving average has proved the most profitable over the past twelve month, and currently retains a winning buy signal (initiated on 7th November 2022)
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com
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MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com
Homepagemarkets-real-timeBulletMarketsFixed Income BulletsForeign Exchange Bullets

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