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[US-Iran Ceasefire Triggers Collapse in Options Volatility, Market Unwinds Geopolitical Risk Premium] ⑴ On Wednesday, implied volatility in the foreign exchange market plummeted. The two-week ceasefire agreement between the US and Iran triggered a much-anticipated relief rally, unwinding the geopolitical risk premium that had accumulated in the currency market since late February. Oil prices fell, the dollar weakened, and risk appetite rebounded. ⑵ The 1-month implied volatility of the euro against the US dollar fell from 7.35 to 6.40, a decrease of 0.95 volatility points; the 1-month volatility of the pound against the US dollar also fell by 0.95 to 7.10; the volatility of the Australian dollar against the US dollar fell by 0.70 to 10.05 due to the rebound in risk appetite and reduced demand for downside protection. Risk reversal indicators fell significantly, with the 1-month 25-delta put option premium for the euro falling from 1.10 before the ceasefire to 0.60, well below the peak of 1.70 in early March. (3) The USD/JPY pair was an exception among major currency pairs, with its 1-month volatility falling only 0.40 to 8.45. This was because the yen's volatility had already fallen back to pre-conflict levels before the ceasefire, and persistently low realized volatility and a range-bound spot exchange rate limited downside potential. (4) In emerging markets, the USD/INR volatility retreated significantly, with the 1-week volatility falling from a recent extreme high of 11.50 to 8.25, and the 1-month volatility falling from 8.80 to 7.10. The USD/ZAR spot rate also fell, with the 1-month implied volatility falling from 15.5 to 14.0. Short-term options found some support after the initial decline, and remaining headline risks kept demand for gamma contracts active. The 2-week implied volatility is worth watching—this term covers the ceasefire expiry date but demand is extremely low, and a shift in market sentiment may be reflected here first.