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May 02 - 07:55 AM

EUR/USD - Options Market Wary Of A Bigger Slump In Spot

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

EURUSD 1-mth Risk Reversal Chart: Click here

EURUSD 1-mth Volatility Chart Click here

Source:
Refinitiv IFR Research/Market Commentary

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