• EUR/USD FX option implied volatility languishes at 2026 lows amid low FX realised volatility in limited range

• However, benchmark 1-month expiry just paid 5.125 from 4.95 Tuesday as spot setback aids support for now

• Risk reversals edge higher for EUR puts over calls too - 1-month 25 delta paid 0.35 Wednesday vs 0.25 Tuesday

• Shows market is growing more wary about EUR/USD losses and is increasing related option prices

• Demand for downside strikes increasing too - buyers of 1-2-week 1.1550 strikes noted early Wednesday

• However, prices and demand still low by comparison to spike highs at start of Mid-East conflict in early March

• Recall 1-month implied volatility reached 9.0 and 1-month risk reversals 1.5 for EUR puts over calls

• Hedging of more large FX option strike expiries may help to contain through 10-am New York cut expiry

• Related comment - USD/JPY options breakout warning as volatility premiums surge
EUR/USD FXO implied volatility


EUR/USD 25 delta risk reversals


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