Huge swing in EURCHF option volatility on SNB announcement

Craig Drake Independent Analyst

FXStreet (London) - EURCHF volatility took a huge swing today after the Swiss National Bank removed the CHF1.200 floor in the EURCHF rate. At the same time, it lowered the interest rate on sight deposit account balances that exceed a given exemption threshold by 0.5 percentage points, to −0.75 percent. It is moving the target range for the three-month Libor further into negative territory, to between –1.25 percent and −0.25 percent, from the current range of between −0.75 percent and 0.25 percent.

EURCHF 1-month at-the-money volatility options plummeted to -6.38 from a long-run average of 3.15 percent, moving more than 105 percent on the session.

Author

Craig Drake

Independent Analyst

Craig Drake, Analyst, joined FXStreet in 2013, with a background in journalism and economic research. He specialises in macro and fundamental strategy, with a keen interest in monetary policy. He has a degree in law and economics.

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