Tuesday, June 30, 2009

Implied Volatilities for FX Majors - 30 June 2009, 2208h

Sequence from left to right = 1 wk, 1 mth, 2 mths, 3 mths, 6 mths, 1 yr

EUR/USD = 12.35, 12.85, 13.10, 13.30, 13.75, 14.05

USD/JPY = 13.20, 13.70, 13.80, 13.95, 13.90, 14.00

GBP/USD = 14.50, 14.30, 14.30, 14.40, 14.45, 14.40

USD/CHF = 12.30, 12.50, 12.55, 12.75, 12.95, 13.15

AUD/USD = 17.10, 18.10, 18,20, 18.30, 18.30, 18.30

USD/CAD = 13.00, 14.15, 14.50, 14.75, 14.90, 15.40

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