The front end of the EUR/NOK impl. vol curve has spiked higher driven by a repricing of this week's Norges Bank (NB) meeting.
Given what is already in the NOK rates space, we think the current event risk priced in EUR/NOK FX (O/N impl. forward vol. at 16%) is fair - also in an historical context.
The NB meeting is a key event for our bullish NOK call. See FX Trading Portfolio - Sell EUR/NOK spot outright as strategic 3M (NYSE:MMM) trade , 10 September.
In the FX option space, we see value in utilising the spike in impl. vol. and express our bearish EUR/NOK view via a 2W seagull or by selling 1-2W calls.
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