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Sizeable Thursday Expiries Could Help Define EUR/USD Range

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  • Front-end implied vols across G10 FX are at the upper-end of the recent range ahead of the Fed, ECB and BoE this week. EUR/USD 1w vols added close to 3 points late last week as contract captured the fallout from the Fed and ECB.
  • The vol premium added this week is relatively muted compared to the moves ahead of December's Fed/ECB - (ahead of which EURUSD 1w vols crossed as high as 15 points) signalling markets expect more muted prices moves at the end of this week - reflected in the solid pricing of 25bps and 50bps hikes from the Fed and ECB respectively.
  • The first post-ECB NY cut shows sizeable expiries layered between 1.0750-1.08 ($1.5bln) and decent interest at 1.1150 ($744mln) that could help define the range across this week's CB schedule.
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