One of my sources have informed me that an O/N ATM option strike traded at 9.25 pct earlier today. The strike will roll off a few hours ahead of the first FOMC rate verdict and statement of 2007. Beyond tomorrow's 19:15GMT FOMC announcement, the focus will switch to Friday's publication of January's US employment report.
NFP consensus forecast: 140k. 1-mth vol is little moved from today's European open, with 5.85/6.05 defining the current market. 1-mth ATM option strikes were reportedly given at 6.0 pct and 5.9 pct yesterday. The current 1-mth expiry date is Tuesday February 27, according to FENICS FX 2002. The 1-mth expiry date fell on Monday February 26 yesterday.
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