Swiss dislocation drives options activity

摘要

High Swiss franc volatility is driving options activity on the currency as some managers look to play an eventual return to normalisation after the Swiss National Bank rocked markets with the removal of a 1.20 cap on the euro-franc exchange rate. The shock action on Jan 15 caused the Swiss currency to strengthen by 25% against the euro in a matter of hours andsent one-month realised volatility on the US dollar-Swiss franc pair from 6.9% to 58.4%, where it currently resides.