Tuesday’s U.S. CPI data will offer more clues on the inflation path and U.S. monetary policy outlook, yet the risk of increased FX volatility in its wake is surprisingly low – according to FX option pricing.
FX implied volatility is the option market gauge of FX realised volatility over the life of an option and a key determinant of its premium, but there’s been a negligible increase, if any in some cases, since overnight/next day expiry included the CPI data.
