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Apr 02 - 08:55 AM

EUR/USD - FX Options Prepared For More EUR/USD Losses

By Richard Pace  —  Apr 02 - 06:40 AM
  • FX option implied volatility has bounced from last weeks 2-year lows

  • Passing of Easter holidays moves focuses risk premium on U.S. NFP and CPI

  • 1-month expiry date also includes the May 1 Fed policy decision

  • Option risk reversals post highest USD call over put vol premium for 2024

  • 1-month trades 0.375 Tuesday, 3-month expiry is 0.5 USD calls over puts

  • Shows why implied volatility posts gains with the USD and vice versa

  • Traders also noted demand for 1-2-month expiry strikes toward 1.0600

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Refinitiv IFR Research/Market Commentary


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