February 28, 2020 / 8:48 AM / a month ago

Euro-dollar volatility jumps to one-year high amid big forex moves

LONDON (Reuters) - Market gauges of euro-dollar one-month implied volatility jumped on Friday to their highest in over a year at 6.6% EUR1MO=FN as the intensifying coronavirus outbreak fuelled big currency moves and recession fears.

The Japanese yen, appeared to have regained its safe-haven status after last week’s brief wobble, rising to a 3-1/2-week high of 108.79 versus the dollar JPY=EBS.

The euro was last up 0.3% at $1.1028 EUR=EBS, a three-week high. Euro-dollar volatility, which fell to a record low just last month below 4%, surged to 6.6%, the highest since last January, having ended last week around 4.8% EUR1MO=FN.

The greenback had strengthened recently but has since handed back those gains as money markets moved to price three 25 basis-point Fed cuts by mid-year, starting with one later this month. As recently as a week ago, markets had seen just a 9% chance of a cut FEDWATCH

(This story corrects volatility level and milestone to January from July in 3rd paragraph)

Reporting by Sujata Rao; Editing by Alison Williams

0 : 0
  • narrow-browser-and-phone
  • medium-browser-and-portrait-tablet
  • landscape-tablet
  • medium-wide-browser
  • wide-browser-and-larger
  • medium-browser-and-landscape-tablet
  • medium-wide-browser-and-larger
  • above-phone
  • portrait-tablet-and-above
  • above-portrait-tablet
  • landscape-tablet-and-above
  • landscape-tablet-and-medium-wide-browser
  • portrait-tablet-and-below
  • landscape-tablet-and-below