• EUR/USD extends its most recent gains to highs since Nov at 1.0643

• FX option implied volatility higher to reward many already holding longs

• 1-week vol from 8.3 Tues to 9.75 Wed (based 6.0 on 24 Feb)

• Benchmark 1-month implied vol now 8.4 vs 7.8 Tue, setback low 6.75 mid Feb

• What stands out most is repricing of EUR puts vs calls on risk reversals

• Downside strike premium drops on all dates to lows since Oct-Nov last year

• Shows market is now far less concerned about the EUR/USD downside

• Related - Options to gain from eventual EUR/USD break-out
EUR/USD FX option implied volatility


EUR/USD risk reversals

(Richard Pace is a Reuters market analyst. The views expressed are his own)