EM options prices plummet
LONDON & PARIS - Emerging market options prices have fallen sharply over the past month, drawing down implied volatilities.
Rouble crosses experienced the largest drop, with implied volatilities three-month at-the-money USD/RUB options losing six vols to 16 vols. Options on USD/CLP, USD/MXN, USD/BRL and EUR/PLN signalled around five in vols each.
"Traders are not so worried about top-side risks and so the demand for these options has declined," said Simon Smollett, a senior options strategist at
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