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Aug 05 - 11:55 AM

EUR/USD - Options Show Concern About More FX Gains, 1.20 Barriers

By Richard Pace  —  Aug 05 - 10:10 AM
  • Relentless demand for options that would benefit from continued spot gains

  • Market makers clearly concerned - significant rise in option prices

  • Implied volatility marches higher across the entire 1-12-month curve

  • 1-month looks to retest recent 8.6 peak - it's up 2.5 since mid July

  • 1-year up a huge 1.0 in a week to test 8.0 now

  • Risk reversals show continued demand for EUR call options (topside)

  • Risk reversals eye multi year highs, big traded volumes too nL1N2F708T

  • Huge barriers 1.20 nL2N2F20HC. US near fiscal cliff edge nL1N2F7099




EURUSD implied volatility Click here

1-3-12-month EUR/USD risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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