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Sep 30 - 12:12 PM
EUR/USD - FX Options Wrap-EUR/USD Oversold? Brexit Hedges; RBA Risk Low
First appeared on eFXplus on Sep 30 - 10:00 AM

EUR/USD finally erased 1.0900 barriers, but buyers helped much bigger levels hold - 76.4% of the 2016-18 rise at 1.0863 and 1.0850 barriers.
Option vols were actually lower overall -- not betting on 1.0850 going just yet nL2N26L0AL.
However, existing option coverage below 1.0850 and certainly 1.0800 is light compared with that above 1.0900, suggesting short gamma and the risk of increased volatility, EUR losses and vol gains if those levels eventually go nL2N26H07E.
GBP-related options continue to trade high, which is no surprise given the Brexit and political uncertainty surrounding the pound.
Owning these options offers decent risk/reward in the circumstances nL2N26L05L.
Two- and three-month expiry vols remain the highest points on the curve given the UK election risk, but one-month could yet breach those levels Thursday, when its expiry captures the Oct.
31 Brexit date nL2N26L0DM.
The Reserve Bank of Australia rate decision is Tuesday, but low overnight vols suggest a tame AUD/USD reaction isexpected nL2N26L046.
A big U.S. bank thinks the RBA won't cut and likes AUD/USD higher nL2N26L04V.
USD/JPY topside limited nL2N26L0BI

EUR/USD implied vol: Click here

EURUSD risk reversals: Click here

USDJPY risk reversals: Click here

GBPUSD option vols: Click here

overnight AUD/USD implied vol: Click here

Refinitiv IFR Research/Market Commentary


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