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Implied Volatility Report – October 10, 2023



  • EUR/USD volatility remains extremely elevated, most JPY crosses at the other end of the spectrum
  • Expected volatility of precious metals and oil stay at month-highs
  • US stock indices in calmer waters; Bitcoin at the highest of its volatility range

EUR/USD expected volatility remains extremely high despite the marginal weekly negative return. On the flip side, yen crosses are expected to experience very low volatility going forward with the exception of GBP/JPY.

In commodities, gold and silver expected volatility has jumped to the highest level of the past month, driven by the safe heaven demand on the back of geopolitical developments. For the same reasons, oil prices remain on top of their volatility range as the Middle East conflict has sparked supply concerns.

Turning to risky assets, the implied volatility of major US stock indices has dropped as geopolitical risks seem to be offset by solid earnings reports. In the meantime, Bitcoin’s volatility is at the highest level of the past 30 days, possibly fueled by the increasing rumors around a spot-Bitcoin ETF approval.


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