Implied Volatility Rates

The implied volatility rates are averages of mid-level rates for bid and ask "at-money-quotations" on selected currencies at 11:00 a.m. on the last business day of the month.
The New York Fed will discontinue the publication of implied volatility rates on September 30, 2013. These rates have been published since 2000 with the original intent of providing price transparency to auditors and examiners in the foreign exchange community. Over time, measures of implied volatility have become widely available from multiple data sources, providing scope for the New York Fed to cease publication. If you have further questions, please contact Eric Pajonk at (212) 720-1735 or eric.pajonk@ny.frb.org.
Implied Volatility Rates for Foreign Currency Options*
September 30, 2013
1WK
1MO
2MO
3MO
6MO
1YR
2YR
3YR
EUR
8.1
7.4
7.4
7.4
7.8
8.5
9.0
9.3
JPY
12.3
11.4
11.1
11.0
11.0
11.2
11.8
12.7
CHF
8.9
8.4
8.4
8.4
8.9
9.5
9.8
9.9
GBP
7.7
7.3
7.2
7.1
7.3
7.5
7.9
8.2
CAD
6.4
6.4
6.3
6.4
6.7
7.1
7.4
7.6
AUD
11.2
10.7
10.5
10.3
10.4
10.6
10.8
11.0
GBPEUR
6.7
6.4
6.5
6.4
6.8
7.3
7.6
7.8
EURJPY
11.6
11.1
11.2
11.3
11.8
12.6
13.4
14.1
* This release provides survey ranges of implied volatility mid rates for the money options as of 11:00 a.m. The quotes are for contracts of at least $10 million with a prime counterparty.

This information is based on data collected by the Federal Reserve Bank of New York from a sample of market participants and is intended only for informational purposes.

The data were obtained from sources believed to be reliable but this Bank does not guarantee their accuracy, completeness or correctness.