Option Volatilities have sold off tremendously ahead of the Thanksgiving holiday as this marks the beginning of the holiday season. The USD Index bounced off the 85 level and has stabilized against the majors in the past week.Traditionally a slow week, the market seems to be depressing implied volatilities in anticipation of a quiet trading week. The depressed levels in implied volatilities are the lowest we have seen so far especially for the overnight volatility. The wait and see attitude in the interest rate markets around the world combined with the fact that the Federal reserve seems to be holding steady means that people are less likely to want to bid up options and their implied volatilities in anticipation of adverse events. The economic news being released this week in theUnited States is very limited. Initial Claims will be released on Wednesday along with Michigan Sentiment Index. Nothing is scheduled for Thursday and Friday due to the holiday.
The risk reversals have remained the same as last week. The 1 month 25 delta risk reversal has the EUR calls trading at a volatility premium of 0.3%/0.4% over the EUR puts. The USD/JPY favors of USD puts versus USD calls. The volatility premium now stands at 0.4%/0.70% for USD puts over USD calls.
OPTION TRADE IDEAS
Below please find some strategies, which depending on your view might be applicable. Please bear in mind that all of these trades can be applied to any of the currency pairs, which may be traded. All barrier levels, strikes, triggers, payouts, and maturity dates can be tailored to each individuals views.
For further details, please contact the options dealing desk at 1.212.897.7660 or toll free at 1.888.50.FOREX.
