FX OPTIONS: EUR/USD O/N Buoyed by NFP Event Risk

The event risk of tomorrow's US December employment report release is underpinning O/N implied option volatility. The O/N is 12.0/14.5 last. Further out on the curve: the 1-mth is pivoting the 7.0 pct level, having traded as high as 7.25 pct 48 hours ago. The 1-mth EUR/USD expiry date has today rolled forward to Tuesday February 6, according to FENICS FX 2002, having fallen on February 1 yesterday and Tuesday.