Derived Data That Drive Results
By Martin Miller — May 02 - 05:35 AM
EUR/USD's elevated hedging costs have a definite downside skew
1-mth RR show the premium for EUR puts over calls remains quite large
Premium much less than where it was just after Russian's invasion of Ukraine
Options charge a premium for strikes in the direction deemed most vulnerable
1-mth implied ATM vol is at 9.9, well above measured (fair value) vol at 6.7
That shows hedging costs remain quite elevated in the EUR/USD options market
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EURUSD 1-mth Risk Reversal Chart: Click here
EURUSD 1-mth Volatility Chart Click here
Source:
Refinitiv IFR Research/Market Commentary
