Implied option volatilities have ticked south through the European session-to-date, with the 1-mth 5.8/5.9 last. The 1-mth expiry date currently falls on a Monday (March 12). On Friday, the 1-mth expiry date fell on an NFP Friday (March 9).Last Autumn (pre-Thanksgiving), the 1-mth plumbed an all-time double-day low of 5.4/5.6 (Nov 17 & 21).
The 1-mth started this year bid as high as 7.15 pct (Jan 2). In the mid-dates: the 3-mth is now 5.9/6.05, having been 6.0 pct bid at today's European open. The 3-mth expiry date still falls on an ECB rate verdict and press conference Thursday (May 10), as per Friday. The next-but-one FOMC meetingtakes place on May 9. At the back of the curve: the 1-year is pivoting Friday's new all-time traded low of 6.475 pct. Expiry dates courtesy of FENICS FX 2002.
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