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Jan 17 - 05:00 AM

EUR/USD's Upside Protection Cost Reach Highest In A Year

Published on Jan 17 - 02:40 AM
  • EUR/USD risk reversals continue to point to an eventual topside extension

  • Firm implied vol premium for EUR calls vs puts (right to buy vs sell EUR)

  • 3-month expiry sees that premium reach 0.5 vols - highest since Jan 2018

  • Suggests extended spot gains would lift implied vols to reward owners

  • However, could be some time coming, broader implied volatility record lows

  • Even ECB and Fed meetings fail to attract vol gains/demand nL1N29L05V

  • Massive 10-billion expiries help contain Friday nL1N29M056

EURUSD risk reversals: Click here

Refinitiv IFR Research/Market Commentary


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