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Sep 02 - 02:55 AM

EUR/USD - Risk Of Further EUR/USD Retreat - According To FX Options

By Richard Pace  —  Sep 02 - 02:10 AM
  • EUR/USD was better prepared for 1.2000 barrier break nL1N2FX07Y

  • Expected profit taking now being realised in spot and option markets

  • Option premium/implied volatility retreats from Tuesdays new recent highs

  • Dealers report demand for EUR put options - strikes around 1.1800

  • They give holders the right to sell EUR/USD at 1.1800 at expiry

  • Risk reversals peak, but retain solid EUR call (upside) volatility premium

  • For now, EUR/USD setback seen as healthy correction in the uptrend

  • Big expiries in the vicinity for 10-am NY cut Wednesday nL1N2FZ05I


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

Benchmark 1-month EUR/USD implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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