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Mar 24 - 06:12 AM

EUR/USD - Options Stand Down From Panic Stations

By Richard Pace  —  Mar 24 - 04:20 AM
  • EUR/USD option premiums easing, as actual volatility risk subsides slightly

  • Implied volatility gauges actual volatility - it's the measure to watch

  • 1-week implied volatility 15.5 vs 21.0 peak Fri, 1-month 12.9 vs 15.25 Mon

  • However, recall 1-month was 3.75 record low in Feb, so still very high

  • Risk reversals saw massive reprice from EUR calls to puts of late

  • That's the implied volatility premium dealers charge for downside protection

  • It's also peaked but slow to ease - dealers still very downside wary for now

  • Huge option expiries nearby may actually have some sway Tuesday nL1N2BH090



EURUSD 1-week and 1-month implied vol: Click here

EURUSD risk reversals: Click here

Source:
Refinitiv IFR Research/Market Commentary

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