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Sizeable EUR/USD Expiries Could Draw Focus Post-ECB

EUR
  • Headed into the ECB decision, and markets remain evenly split on 25 vs 50bps step in just over an hour's time - market implied OIS are pricing ~38bps of tightening, leaving EUR implied vol well bid ahead of the decision.
  • EUR overnight implied vols are just below 20 points at typing, leaving an overnight straddle break-even at a swing of ~90pips - a move that would bring the Wednesday lows of 1.0516 into play, although the recovery high of 1.0760 looks slightly more out of reach - although a very sizeable expiry at the $1.07 for the Friday NY cut (E3.8bln notional) could become a focal point for any post-ECB rally.
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com

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