February 28, 2020 / 8:44 AM / 3 months ago

CORRECTED-FOREX-Euro-dollar volatility jumps to one-year high amid big FX moves

(Corrects volatility level and milestone to Jan from July in 3rd paragraph)

LONDON, Feb 28 (Reuters) - Market gauges of euro-dollar one-month implied volatility jumped on Friday to their highest in over a year at 6.6% as the intensifying coronavirus outbreak fuelled big currency moves and recession fears.

The Japanese yen, appeared to have regained its safe-haven status after last week’s brief wobble, rising to a 3-1/2-week high of 108.79 versus the dollar.

The euro was last up 0.3% at $1.1028, a three-week high. Euro-dollar volatility, which fell to a record low just last month below 4%, surged to 6.6%, the highest since last January, having ended last week around 4.8%.

The greenback had strengthened recently but has since handed back those gains as money markets moved to price three 25 basis-point Fed cuts by mid-year, starting with one later this month. As recently as a week ago, markets had seen just a 9% chance of a cut

Reporting by Sujata Rao; Editing by Alison Williams

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