The Federal Reserve Bank of New York works to promote sound and well-functioning financial systems and markets through its provision of industry and payment services, advancement of infrastructure reform in key markets and training and educational support to international institutions.
The Outreach & Education function engages, empowers and educates the public in the Second District. Our outreach mission furthers the Bank’s commitment to the region by listening to the communities we serve and developing programs, analysis and sponsored conferences and clinics to help meet their needs. Our education mission aims to advance public knowledge about the Federal Reserve System and its role in the economy.
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 firstname.lastname@example.org.
Implied Volatility Rates for Foreign Currency Options* September 30, 2013
* 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.