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Feb 23 - 07:55 AM

EUR/USD - Clues From The Options Market

By Richard Pace  —  Feb 23 - 05:44 AM
  • Implied volatility measures actual volatility - determines option premium

  • It's edged marginally higher amid month end and Powell risk nL1N2KT0IG

  • However, overall demand for options has been tame, and gains limited

  • Consistent with spot holding ranges and actual volatility being depressed

  • Benchmark 1-month risk reversals confirm a lack of directional bias

  • They typically trade with a premium for EUR calls or puts (spot up, or down)

  • However, 1-month failing to gain a hold either side of neutral in 2021

For more click on FXBUZ

EUR/USD 1-month expiry implied volatility vs 1-month historic Click here

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

Refinitiv IFR Research/Market Commentary


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