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EURUSD, GBPUSD & USDJPY Options-implied Ranges on NFP Day

EURUSD, GBPUSD & USDJPY Options-implied Ranges on NFP Day

What’s inside:

  • EURUSD projected intra-day range levels; one-week implied volatility highest with ECB next week
  • GBPUSD implied volatility at low levels, looks underpriced given event risk
  • USDJPY projected intra-day range aligns well with near-term support, top-side at risk of breaking

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In the table below, we’ve listed levels of implied volatility (IV) for major USD-pairs for the next one-day and one-week time-frames. Using these levels, we’ve derived the range-low/high prices from the current spot price within one-standard deviation for specified periods. Statistically speaking, there is a 68% probability that price will remain within the lower and upper-bounds.

Later today, the August U.S. jobs report will be released at 12:30 GMT time. Market expectations are for the economy to have added 180k jobs for the month, down from 209k in July. The unemployment rate is expected to remain stable at 4.3%. The market will also be watching for changes in wage inflation, via the average hourly earnings metric; expectations are for an uptick to 2.6% from 2.5% in the prior month.

The options market isn’t pricing in particularly large moves today out of the major currencies, and as we move forward this may change should we start seeing increased volatility in the actual releases themselves. In large part, the monthly jobs data has been pretty stable and strong for quite some time. With that in mind, a major miss would likely be the most shocking of possible scenarios, with a big upside beat in the NFP figure perhaps not sparking as significant of a move without a material uptick in average hourly earnings.

EURUSD one-day implied volatility is at 8.05%, which suggests a one-standard deviation range of 11844 to 11944 from current spot prices. The one-week range based on implied volatility of 10.36% is between 11723 and 12065. One-week implied volatility is the highest among the major currencies as next week the ECB meets. Recent price action in the euro (and dollar in general – Did the US Dollar Just Bottom? Bullish vs. EUR, GBP, JPY) at major levels suggests we may have seen an important inflection point, and a tradeable low may have been found in the greenback. If that is the case, we could see weakness out of the euro following the jobs report regardless of the outcome barring a major surprise. Keep an eye on the projected low as it aligns near yesterday’s low and from daily peaks carved out in the latter part of last month.


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GBPUSD one-day implied volatility is at only 6.06%, indicating a daily range of only 12884 up to 12966. There is a good likelihood we see this range broken in today’s trade. One-week implied volatility is a low 6.82%, suggesting a range of only 12803 up to 13047 within one-standard deviation of current price. There is room here for volatility to rise and the market to be underpricing near-term price swings.


USDJPY one-day implied volatility is at 7.58%, suggesting a one-standard deviation range of 10960 to 11048, with weekly projections based on IV of 8.52% clocking in with a range of 10874 up to 11134. Keep an eye on the one-day projected low for support as it aligns up very near the low from Wednesday and closing prints from the back-part of last month. Looking higher, the implied one-day high is below yesterday’s reversal-day high, and if the dollar is to gain traction we could see that level exceeded for a strong weekly close.


For other currency volatility-related articles please visit the Binaries page.

---Written by Paul Robinson, Market Analyst

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DailyFX provides forex news and technical analysis on the trends that influence the global currency markets.