Option dealers, and end-users of this FX derivative have been buying EUR put/USD call options since EUR/USD failed to extend gains above 1.2000 in early September nL1N2FZ07R.
Although many of those strikes were around 1.1800 initially, and have since expired, there's been more recent interest to buy strikes at 1.17-1.16, which would benefit/protect against any deeper EUR/USD declines.
Option prices have been falling over recent weeks - certainly consistent with range-trading expectations and less near term risk of further EUR/USD gains above 1.2000.
Benchmark 1-month implied volatility, which measures future actual volatility expectations, is now 7.2 from 8.4 in early September.
Risk reversals show which side of a market is deemed most vulnerable by charging an implied volatility premium for option strikes in that direction - 1-month now just 0.375, from early September highs at 0.85 EUR calls over puts (topside).
Overall option market activity/volumes have fallen in September, potentially reflecting a lack of overall conviction, while awaiting a new catalyst.
For more click on FXBUZ