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Aug 03 - 03:55 AM

EUR/USD - Derivatives Remain Poised For Gains

By Richard Pace  —  Aug 03 - 02:20 AM
  • EUR/USD FX option premiums remain elevated, additional premium for EUR calls

  • Benchmark 1-month implied volatility peaked 8.6 early Fri vs 6.1 mid July

  • 1-month risk reversal 2-year peak EUR calls over puts (exclude March panic)

  • Setbacks minimal so far -- dip buying in spot and option premiums

  • Implied volatility/EUR calls correlated to gain with EUR/USD spot

  • Suggests dealers still look for renewed USD weakness and eventual 1.20 test

  • 1.20 key level -barriers and light existing coverage a concern nL2N2F20HC


1-week and 1-month EUR/USD implied volatility Click here

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

Source:
Refinitiv IFR Research/Market Commentary

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