23 Jan 2026, 1230 GMT
ATM VOLATILITIES
Pair Spot 1w1m3m6m9m1y
EURUSD 1.1739 (0.28%) 5.41 (+0.31)5.29 (+0.29)5.63 (+0.18)6.08 (+0.18)6.43 (+0.18)6.67 (+0.17)
USDJPY 158.20 (-0.27%) 8.98 (+0.06)8.95 (+0.19)9.05 (+0.02)9.25 (0)9.4 (+0.01)9.44 (-0.02)
GBPUSD 1.3523 (0.72%) 5.4 (+0.2)5.6 (+0.15)6.2 (+0.1)6.85 (+0.1)7.3 (+0.05)7.6 (+0.1)
AUDUSD 0.6852 (0.67%) 8.04 (+0.36)7.63 (+0.18)8.04 (+0.13)8.56 (+0.11)8.93 (+0.07)9.2 (+0.09)
USDCAD 1.3774 (-0.34%) 4.58 (+0.1)4.27 (+0.01)4.61 (+0.11)4.98 (+0.08)5.25 (+0.05)5.48 (+0.02)
USDCHF 0.7905 (-0.25%) 6.75 (+0.25)6.6 (+0.25)6.95 (+0.2)7.3 (+0.2)7.6 (+0.2)7.74 (+0.19)
EURJPY 185.70 (0.01%) 7.85 (-0.12)8.08 (+0.21)8.11 (+0.07)8.42 (+0.04)8.66 (+0.05)8.79 (+0.03)
EURGBP 0.8680 (-0.44%) 3.55 (+0.2)3.75 (+0.1)4.15 (+0.1)4.65 (+0.05)5 (+0.05)5.15 (0)
EURCHF 0.9279 (0.02%) 3.8 (0)3.65 (-0.05)4 (-0.05)4.45 (-0.05)4.77 (-0.03)4.95 (-0.1)
XAUUSD 4933.65 (2.10%) 26.93 (+1.21)24.05 (+1.1)22.79 (+0.72)21.89 (+0.49)21.34 (+0.34)20.76 (+0.18)
XAGUSD 98.9075 (5.60%) 66 (-1.46)64.8 (+0.64)62 (+1.33)53.3 (-1.76)52 (+1.06)48.5 (+0.85)
Change from 2026-01-22 12:30 to 2026-01-23 12:30 UTC
FX Options Analytics: Vols, Risk Reversals & Pin Risk: 1230 GMT
At-the-money (ATM) implied volatilities are the prices (in volatility terms) for the most liquidly quoted forex option contracts. Significant changes can indicate a change in market expectation of future variability in the underlying forex spot market. Learn more about implied volatility


25-DELTA RISK REVERSAL
Pair Spot 1w1m3m6m9m1y
EURUSD 1.1739 (0.28%) 0.45 (+0.29)0.52 (+0.24)0.55 (+0.19)0.58 (+0.15)0.6 (+0.12)0.63 (+0.11)
USDJPY 158.20 (-0.27%) -2.01 (-1.19)-1.18 (-0.43)-0.8 (-0.14)-0.58 (-0.05)-0.46 (-0.02)-0.39 (-0.01)
GBPUSD 1.3523 (0.72%) -0.1 (+0.02)-0.2 (-0.01)-0.3 (+0.01)-0.45 (-0)-0.55 (0)-0.61 (+0.03)
AUDUSD 0.6852 (0.67%) -0.01 (+0.37)-0.26 (+0.26)-0.5 (+0.16)-0.67 (+0.12)-0.77 (+0.1)-0.88 (+0.07)
USDCAD 1.3774 (-0.34%) -0.13 (-0.07)-0.06 (-0.06)-0.03 (-0.05)-0.02 (-0.04)-0.02 (-0.03)-0.03 (-0.03)
USDCHF 0.7905 (-0.25%) -1 (-0.28)-0.99 (-0.16)-1.03 (-0.11)-1.06 (-0.1)-1.08 (-0.09)-1.08 (+0.01)
EURJPY 185.70 (0.01%) -1.42 (-0.82)-0.9 (-0.25)-0.71 (-0.05)-0.65 (+0.01)-0.63 (+0.04)-0.63 (+0.05)
EURGBP 0.8680 (-0.44%) 0.37 (0)0.45 (+0.04)0.58 (+0.05)0.73 (+0.04)0.81 (+0.04)0.88 (+0.04)
EURCHF 0.9279 (0.02%) -0.56 (-0.02)-0.56 (-0.01)-0.62 (-0.01)-0.69 (-0.01)-0.74 (-0.01)-0.77 (0)
XAUUSD 4933.65 (2.10%) 1.97 (+0.36)2.47 (+0.15)2.75 (+0.03)2.65 (-0.01)2.51 (-0.01)2.36 (-0.03)
XAGUSD 98.9075 (5.60%) 6.4 (0)10.7 (+0.26)12.76 (0)12.57 (0)11.97 (0)11.39 (0)
Change from 2026-01-22 12:30 to 2026-01-23 12:30 UTC
FX Options Analytics: Vols, Risk Reversals & Pin Risk: 1230 GMT
25-delta risk reversals show the difference in volatility, and therefore price, between puts and calls on the most liquid out-of-the-money (OTM) options quoted on the OTC market. Positive values indicate calls being more expensive than puts (upside protection on the underlying forex spot is relatively more expensive), while negative values indicate puts are more expensive than calls (downside protection is relatively more expensive). Significant changes can indicate a change in market expectations for the future direction in the underlying forex spot rate. Learn more about the volatility smile
OTC VOLUME INDEX
FX Options Analytics: Vols, Risk Reversals & Pin Risk: 1230 GMT
Saxo Bank observe trades of standard contracts taking place in the over-the-counter (OTC) forex options market. The OTC volume index shows volume traded in the past 24-hours versus a rolling one month daily average. While not capturing all OTC flow, the index is a barometer of volume on liquid contracts for different crosses. Values over 100 indicate volume higher than the average, values under 100 indicate volume lower than the average.
MARKET PIN RISK
Friday
23-Jan-2026		Monday
26-Jan-2026		Tuesday
27-Jan-2026		Wednesday
28-Jan-2026		Thursday
29-Jan-2026

EURCHF
0.9225

USDCAD
1.3640
1.3625
1.3620

EURUSD
1.1630

USDCAD
1.4175
1.4170
1.4165
Strikes displayed for (NY) cut 2026-01-23
FX Options Analytics: Vols, Risk Reversals & Pin Risk: 1230 GMT
Positions of significant size in the forex options market can have an influence on the underlying forex spot rate. FX Options strikes in large notional amounts, when close to the current spot level, can have a magnetic effect on spot prices. That is, spot may trend around those strikes as the holders of the options will aggressively hedge the underlying delta. The Market Pin Risk report shows large options expiring in the next 5 days that Saxo have observed on the OTC forex options market. Red strikes indicate sizeable open interest close to the current forex spot rate.
EURUSD CHARTS
Implied vs. Historic Volatility
Risk Reversal vs. Spot
USDJPY CHARTS
Implied vs. Historic Volatility
Risk Reversal vs. Spot
GBPUSD CHARTS
Implied vs. Historic Volatility
Risk Reversal vs. Spot
FX Options Analytics: Vols, Risk Reversals & Pin Risk: 1230 GMT
Implied vs. Historic Volatility: Large differences in implied (quoted for option prices) and historic (realised, i.e., actual movements in spot price) volatilities can be interpreted as relative over or under-pricing of options by the market. These charts show one month historic volatility versus the one month at-the-money volatility quoted by the market for option prices.
Risk Reversal vs. Spot: Risk reversals show the relative price difference between puts (downside expectation) and calls (upside expectation). This chart illustrates the historic relationship between one month 25-delta risk reversals versus the underlying spot rate. Positive values indicate calls valued higher than puts, negative values indicate puts valued higher than calls.