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Oct 07 - 08:55 AM

EUR/USD - 1.1500 Option Barriers Will Be A Tough Nut To Crack

By Richard Pace  —  Oct 07 - 07:00 AM
  • EUR/USD implied volatility spiked as big 1.15 barriers threatened Wednesday

  • Market short below, so break could have increased volatility/option costs

  • Implied volatility and put premiums threatened long term highs nL1N2R20OE

  • However prices fell quickly amid risk recovery - dealers banking premium

  • Benchmark 1-month implied volatility 5.1 from 5.5 (4.5 is recent low)

  • That's often typical where barriers are involved and suggests decent size

  • There's' still a reasonable premium for EUR puts over calls (downside)

  • That may attract more hedgers to buy EUR puts with barriers below strike

  • They trade at a significant discount to regular vanilla puts nL1N2R20AO

  • Related nL1N2R30JY

For more click on FXBUZ


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

Source:
Refinitiv IFR Research/Market Commentary

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