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SocGen On US Election Vol pricing

FX VOLS

Societe Generale write “the EUR/USD option market started to position on the US election one year ahead, and the event premium inferred is now closely tracking Trump’s advantage over Biden in polls.”

  • “The market is currently expecting EUR/USD vol to be almost four times higher than usual on the day after the election.”
  • “The EUR/USD election premium is already higher than what was seen at the same stage in ‘20. 2024 election premium has been following a similar rising path to ‘20, and if the current trend continues in the same way, this would suggest a rise in the premium of about 10 vols this spring.”
  • “In five of the six previous elections, EUR/USD implied vol declined over the two weeks following election day. During the quarter following the election, it tended to rise with a Democratic president and to fall with a Republican president.”
  • “While the very liquid EUR/USD options provide the most reliable market information, the highest election premiums are found in USD/MXN (for EM) and GBP/USD (for DM).”
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
EM BulletHomepageBulletMarketsEmerging Market NewsForeign Exchange Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
EM BulletHomepageBulletMarketsEmerging Market NewsForeign Exchange Bullets

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