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Sep 07 - 08:55 AM

EUR/USD - FX Options Speak Volumes About EUR/USD Outlook

By Richard Pace  —  Sep 07 - 07:02 AM
  • EUR/USD 1-week-1-month implied volatility near post pandemic lows - now 5.0

  • 1-week-1-month historic/actual volatility levels even lower - 1.96 and 4.73

  • Means repeat spot performance wouldn't even cover premium for those options

  • Current implied premium to historic reflects impending ECB event premium

  • 1-3-month risk reversals show no real premium for EUR puts, or calls

  • EUR/USD traded option volumes above last weeks 2021 lows, but not by much

  • Price action reflects low risk of volatility, or sustained directional moves

  • However, low option premiums, especially 3-month - offer value nL1N2Q90FU

For more click on FXBUZ


EUR/USD 3-month implied vs historic volatility Click here

FX implied versus historic volatility Click here

EUR/USD 1-3 month expiry option risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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