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Mar 29 - 04:55 AM

EUR/USD - Options Maintain A Strong Bearish Lean

By Richard Pace  —  Mar 29 - 02:46 AM
  • Price action in FX options warns of further potential EUR/USD losses

  • Implied volatility is underpinned - 1-month around 6.0 over recent sessions

  • Risk reversals retain a premium for EUR puts over calls (downside strikes)

  • The 1-12-month risk reversals curve close to recent/multi month highs

  • Outright flows show a preference to buy 1-3-month strikes as low as 1.16

  • Increased volatility risk this week from month end flow, and NFP data Friday

  • Friday also holiday in EU, UK and much of U.S - liquidity issues

  • Related comments nL1N2LN10GnL1N2LM0WQ




For more click on FXBUZ


1-3-month EUR/USD implied volatility Click here

EUR/USD 1-3-12-month expiry option risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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