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| Implied Volatility Rates |
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| 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. |
| Implied Volatility Rates for Foreign Currency
Options* December 31, 2008 |
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| 1WK |
1MO |
2MO |
3MO |
6MO |
1YR |
2YR |
3YR |
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| EUR |
22.3 |
23.8 |
23.6 |
23.0 |
21.1 |
19.5 |
18.6 |
17.6 |
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| JPY |
15.5 |
17.9 |
17.7 |
17.5 |
16.6 |
15.0 |
13.2 |
12.0 |
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| CHF |
22.0 |
23.3 |
22.9 |
22.0 |
19.9 |
17.9 |
16.7 |
15.4 |
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| GBP |
20.5 |
22.0 |
21.8 |
21.5 |
20.5 |
19.5 |
19.1 |
18.5 |
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| CAD |
21.9 |
24.7 |
23.8 |
23.2 |
22.1 |
21.0 |
20.8 |
20.6 |
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| AUD |
25.2 |
27.4 |
27.0 |
26.7 |
24.9 |
22.8 |
21.1 |
19.9 |
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| GBPEUR |
21.5 |
21.5 |
20.9 |
20.5 |
19.6 |
18.9 |
17.9 |
17.2 |
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| EURJPY |
19.8 |
22.2 |
22.0 |
21.9 |
21.5 |
21.0 |
23.6 |
19.0 |
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| * 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. |
