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Overnight Vols See Relatively Muted Pre-NFP Interest

OPTIONS
  • FX options markets are pricing a relatively more muted response to today’s payrolls release, with the vol premium added ahead of NFP among the lowest of the year so far.
  • EUR/USD overnight vols peaked at 12.9 points yesterday, below the 2023 pre-NFP average of 15.5, and following the pattern of lower highs in implied vol ahead of payrolls across the year. Markets priced the largest swing in EUR/USD ahead of the January payrolls report (February 3rd) - with implied topping out at 19.8 points.
  • Overnight straddle break-evens price a ~45 pip swing in EUR/USD for today’s NY cut – notably lower than the ~70 pip average pricing of a pre-payrolls swing so far in 2023.
  • This keeps focus on the more sizeable strikes rolling off at the cut today. EUR/USD sees over E2bln roll off between $1.0950-$1.1000 at the 10am NY cut.

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