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Aug 10 - 04:55 AM

EUR/USD - Options Wake Up To US CPI Risk And Buy Protection

By Richard Pace  —  Aug 10 - 02:35 AM
  • Overnight expiry EUR/USD options included US CPI from Wed, but demand tame

  • Premium and demand picks up Thursday - expiry now Friday so gets US PPI too

  • Overnight implied volatility 12.5 vs 11 when expiry first got CPI, 8.7 prior

  • Higher implied volatility means higher perceived risk of realised volatility

  • Premium/break-even now 57 USD pips vs 40 USD pips before CPI capture

  • Strong demand for various strikes between 1.0900-1.1060 so far on Thursday

  • Billions of euros of nearby strike expiries helpcontain EUR this week

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


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