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Nov 24 - 07:55 AM

EUR/USD - REFILE-BUZZ-EUR/USD 1.1200 Option Barriers Stall Latest Drop - For Now

By Richard Pace  —  Nov 24 - 05:58 AM

Adds charts

  • EUR/USD hit 1.1204 (EBS) - new 2021 low, but barrier defence stalls decline

  • Hedging of Binary/KO barriers can add weight to EUR/USD when 1.1200 breaks

  • Could also see a pick up in volatility from subsequent short gamma

  • FX option implied volatility already firm and poised for more USD strength

  • Implied volatility 2021 highs with additional premium for downside strikes

  • There's still ways to cheapen USD hedges with barriers/triggers nL1N2SF0J3

  • More barriers every 50-pips to big 1.10. Beware month end flow nL1N2SF0L9

For more click on FXBUZ


EUR/USD 1-3-month expiry option risk reversals - Click here

1-3-12-month expiry EUR/USD FX option implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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