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Mar 19 - 06:55 AM

EUR/USD - Options On Alert For Hawkish Fed

By Richard Pace  —  Mar 19 - 04:35 AM
  • Implied volatility gauges realised volatility risk within FX option premiums

  • Risk reversals show the FX direction most likely to lift implied volatility

  • EUR/USD risk reversals marginally increase downside vs upside strike premium

  • 1-month 25 delta is 0.2 from 0.1 last week, 3-month paid 0.325 EUR puts Tue

  • Benchmark 1-month expiry implied volatility 5.3 vs 2-yr low 4.95 last week

  • Price action recognises recent USD gains and factors potentially hawkish Fed

  • However, prices still low and volumes tame, so more range trading likely

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


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