Don’t Try This At Home Kids – EUR Traders Holding On For Dear Life As FX Vol At Never Before Seen Levels
More flags, more fun – 500 billion flags! A 50 pip move in an FX pair in a week is big. A 50 pip move in an FX pair in a minute is a several hundred sigma event. As all correlation algos are near unity, we believe the risk of Thursday’s 2:40 pm festivities to recur in the afterhours session (either up or down) is frighteningly high.
May 10, 2010