• FX option implied volatility is broadly heavy due to the lack of FX realised volatility

• However, for pairs like EUR/USD - it remains well above pre conflict lows

• Risk reversals have seen their EUR put over call premiums edge lower beside implied volatility

• However, that EUR/USD downside over upside strike premium is still strong at 1.05 for 1-month expiry

• Recall It was actually 0.25 for EUR calls over puts in late Feb - vol premium for upside over downside strikes

• 1.7 was the conflict peak and 3-year high for downside, but 1-month implied vol was nearer 9.0 then (now 7.4)

• Trump's Iran deadline - how FX options are pricing the risk
EUR/USD 25 delta risk reversals


1-month vol


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