Explore eFXplus Derived Data That Drive Results
A Data Partner of:
Refinitiv
Mar 23 - 07:24 AM

EUR/USD - Size Buyer 0.9500 EUR Put Option

By Richard Pace  —  Mar 23 - 06:15 AM
  • Big buyer 27 May 0.9500 EUR put/USD call at 21.5 vols on EUR 500-million

  • Pricing calculators suggest premium at 21.5 implied vol is around 35 pips

  • Spot wouldn't necessarily have to fall that far to return profit

  • Option would increase in value from lower spot/higher implied volatility

  • Benchmark 1-week implied volatility 20.0, 1-month 15.25 - multi year highs

  • Risk reversals show huge premium for EUR puts - downside strikes

  • Warns of big actual volatility and deeper declines nL1N2BG06X



EURUSD implied volatility: Click here

Source:
Refinitiv IFR Research/Market Commentary

Subscription

  • eFXplus
  • End-user license agreement (EULA)

About

  • About
  • Contact Us

Legal

  • Terms of Service
  • Privacy Policy
  • Disclaimer
© 2020 eFXdata · All Rights Reserved
!