Before and after: the cost of EUR-US dollar options
Demand for options skyrocketed ahead of Sunday’s vote in France, and evaporated immediately after
Another gauge of how far risk perceptions have fallen after the French election is the cost of options on the euro-US dollar exchange rate. Just before the election, the implied volatility on EUR-USD options jumped to 13.5%, the same level it registered during the Brexit dust-up last June. As soon as the votes came in demand for options evaporated.