• Implied volatility gauges real volatility risk for FX option premiums

• It's falling in G10 FX - including EUR/USD and now well below Mon-Tue peaks

• Benchmark 1-month expiry is 9.75 from 10.4 Wed and 11.75 spike high Mon-Tue

• It was 9.2 prior to gains early Friday, so could be where it finds support

• Current levels still elevated when compared to late March lows near 7.0

• However, risk reversals maintain high premium for topside vs downside

• Shows options market still sees topside as more vulnerable side of market

• FX Options wrap
EUR/USD FXO implied volatility


EUR/USD risk reversals

(Richard Pace is a Reuters market analyst. The views expressed are his own)