Overnight FX option expiry now includes the Fed policy decision
No change expected, but statement, press conference provide volatility risk
Overnight EUR/USD implied volatility jumps from 8.0 on Tuesday to 12.0 Wed
Implied volatility gauges realised volatility risk when setting premium
Premium/break-even for straddle now 53 vs 35 USD pips in either direction
Other expiry dates are underpinned by FED, NFP event risk and firmer USD
Benchmark 1-month expiry recovers Monday's 6.1 high vs 5.9 Tuesday
FX options wrap - Firmer USD and Fed/NFP risk support vol nL1N3H31KT
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