Another gauge of how far risk perceptions have fallen after the French election is the cost of options on the euro-US dollar exchange rate. Just before the election, the implied volatility on EUR-USD options jumped to 13.5%, the same level it registered during the Brexit dust-up last June. As soon as the votes came in demand for options evaporated.
Before and after: the cost of EUR-US dollar options
Demand for options skyrocketed ahead of Sunday’s vote in France, and evaporated immediately after
