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Don’t expect lift-off to lift EUR/USD volatility - SocGen

Discussion in 'Fundamental Analysis' started by FXStreet_Team, Dec 24, 2015.

  1. FXStreet_Team

    FXStreet_Team Well-Known Member Trader

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    FXStreet (Delhi) – Olivier Korber, Research Analyst at Societe Generale, suggests that the FOMC’s emphasis on gradualism should guarantee that future communication will attempt to avoid sparking market volatility.

    Key Quotes

    “During the previous tightening cycle, volatility remained under pressure with EUR/USD volatility negatively linked to the US core PCE.”

    “The strong and lasting relationship between EUR/USD volatility and inflation floor options suggests that the former should not exceed 12. The negative skew and 6M realised volatility now just below this level (it rarely has spiked above) make it attractive to Buy a 6M put strike 1.07, conditional on realised volatility below 12.”
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