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Euro implied volatility levels inch to 2-month high

Published 06/12/2020, 04:55 PM
Updated 06/12/2020, 05:00 PM
© Reuters.

LONDON, June 12 (Reuters) - Implied volatility gauges for
euro/dollar rose to their highest levels in more than two months
on Friday as a bout of risk aversion in global markets fuelled
demand for derivatives to guard against a broader drop in the
single currency.
Currency markets have seen a renewed demand for the euro
this week with the euro climbing towards a three-month high of
$1.1373 this week with traders reporting a pick up in demand in
currency options betting on more gains.
But Friday's rise in risk aversion pushed euro EUR1MO=FN
1-month implied volatility gauges embedded in options contracts
to 8.60%, its highest level since April 6. The cost for
three-month and six-month option contracts also rose to their
highest level since April 30 EUR3MO=FN EUR6MO=FN .

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