Options on yen and euro futures expiring just after the US election results, meanwhile, include a 20 basis point volatility premium compared to ones expiring in October peso futures carry a 30 basis point premium, implying traders expect swings in the aftermath of the results.Įrik Nelson, a currency strategist at Wells Fargo, said the increase in volatility is only a harbinger for more market-moving events to come in 2024. Read more: Wall Street Icons Lament Biden, Trump as Top 2024 Choices
The same spread for yen volatility is also near four-year highs, while the gap for the euro as well as a broader JPMorgan gauge of Group-of-10 peers has risen to their strongest since 2021. The currencies of other large trading partners, namely the euro zone and Japan, are similarly susceptible to potential US tariff pressures. This month, the difference between one-year and nine-month implied volatilities for the Mexican peso - one of the currencies most sensitive to potential changes in US trade policy - reached its highest point since January 2020.
