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FX Markets Bracing For Major Event

By: capt_nemo in ROUND | Recommend this post (0)
Thu, 14 Jun 12 6:31 PM | 43 view(s)
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Submitted by Tyler Durden on 06/14/2012 09:37 -0400

Last night we noted that OandA will shut-down trading on Sunday ahead of the market-moving events surrounding the Greek election (as it seems they are unwilling to take the agency risk and potentially counterparty risk on a large gap). Nowhere is this more clearly priced into the market than the short-dated FX option market. EURUSD 1 week implied vol is at its greatest premium to realized vol ahead of this weekend than at any time in the last three-and-a-half years. The last time the level of short-dated vol was near this high (in absolute and relative terms) was December 9th 2011 and EURUSD fell 400 pips in the next few days.

Upper pane is 1 week EURUSD implied vol (black) vs realized vol (orange); middle pane is the spread between the two; lower pane is EURUSD spot. Blue dashed vertical line is the last time we were close to these absolute and relative levels of vol premium...

http://www.zerohedge.com/news/fx-markets-bracing-major-event?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+zerohedge%2Ffeed+%28zero+hedge+-+on+a+long+enough+timeline%2C+the+survival+rate+for+everyone+drops+to+zero%29




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