• 1-month expiry 25 delta EUR/USD risk reversals paid 1-billion euro's a leg

• Option gives holder the right to buy EUR and sell USD at expiry

• Volatility premium for upside over downside strikes was 0.6 (EUR call v put)

• Although its a volatility trade it flags the direction traders fear most

• The direction that is expected to boost EUR/USD volatility and fuel FX moves

• But remember, huge existing triggers will add hurdles for EUR/USD bulls

• Option implied volatility higher with spot - 1-week includes U.S. Fed
EUR/USD FXO implied volatility


EUR/USD option 25 delta risk reversals

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