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Thursday, October 12, 2006

FX OPTIONS: EUR/USD 1mth Vol Goes 6.9 pct Bid-to-Offered

1mth implied option volatility has gone 6.9 pct bid-to-offered through today's European session--thereby extending a retreat from yesterday's 7.05 pct 23-day bid peak. The 1mth expiry date is currently November 14, having fallen on November 9 yesterday and the day before.

Exactly one week ago, an estimated E3bn of short-dated options out to the 1mth period were bought by a US name. A day prior to this touted gamma buying, the 1mth traded at a lifetime-low equaling 6.35 pct (Oct 4). The 1mth first traded at 6.35 pct at the end of Q3 (Sep 29).

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