Explore eFXplus Derived Data That Drive Results
A Data Partner of:
Refinitiv
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

Source:
Refinitiv IFR Research/Market Commentary

Subscription

  • eFXplus
  • End-user license agreement (EULA)

About

  • About
  • Contact Us

Legal

  • Terms of Service
  • Privacy Policy
  • Disclaimer
© 2020 eFXdata · All Rights Reserved
!