By Richard Pace — Feb 05 - 06:38 AM
• EUR/USD Option volatility and downside strike risk premiums revert lower
• Benchmark 1-month EUR/USD implied volatility 9.0 to 7.9 since Monday
• 3-month 7.7 from 8.4 and 1-year trades 7.6 on Wednesday from 7.9 on Monday
• 1-month risk reversals halve to 0.6 EUR puts over calls, 3-month 1.3 to 0.9
• Dealers also report paring of many short term expiry downside defence trades
• Huge 1.0400-50 strike expiry zone might help contain FX for now
EUR/USD FXO implied volatility
EUR/USD FXO risk reversals
EUR/USD FX option strikes expiring Feb 5-14
(Richard Pace is a Reuters market analyst. The views expressed are his own)
Source:
London Stock Exchange Group | Thomson Reuters