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2025-09-18 21:51:59
[Eye of the Forex Storm: Volatility Collapses Across the Board After the Fed's Decision] ⑴ Implied volatility on foreign exchange options fell sharply, fully reversing the gains made before the Fed's decision. The 25 basis point rate cut was in line with expectations, and the market returned to its previous range after event risk subsided. ⑵ EUR/USD's one-month implied volatility fell from a peak of 7.5 to 6.5, completely reversing the previous 1.0 volatility gain. The low of 6.0 may provide technical support. Although the risk reversal indicator fell from 0.625 to 0.475, it still maintained a bullish bias. ⑶ GBP/USD's one-month volatility fell from 7.0 to 6.3, but a risk premium remained in the middle of the term structure, reflecting continued bearish demand for the pound due to UK fiscal uncertainty. ⑷ USD/JPY's one-month volatility fell by 1.0 to 8.85. Despite the Bank of Japan's decision on Friday, the overnight volatility premium remained at a low point for the year, indicating subdued market expectations. 5. The volatility of the Australian dollar against the US dollar fell from 8.35 to 7.85, approaching the multi-year low of 7.25. New Zealand's weak GDP data has led the market to bet that the Reserve Bank of New Zealand may cut interest rates by 50 basis points on October 8, driving up demand for New Zealand dollar volatility protection.
