1-mth implied volatility has sunk to a new seven-week low of 6.05/6.25 last, amid ongoing option supply. At the start of the week, the 1-mth traded at 6.6 pct in an estimated E500mn. The 1-mth expiry date is still Thursday February 8, as per yesterday and Monday, according to FENICS FX 2002.
Towards the end of November last year (pre-US Thanksgiving), the 1-mth plumbed a lifetime low of 5.4 pct. At the back of the curve: well over a yard of 1-year options have reportedly gone through today, inclusive of the earlier-mentioned ATM strike which traded an all-time low of 6.55 pct.
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