Explore eFXplus Derived Data That Drive Results
A Data Partner of:
Refinitiv
Dec 01 - 04:55 AM

EUR/USD - Options Lean Bullish, Beware Big 1.20 Expiry Resistance

By Richard Pace  —  Dec 01 - 02:45 AM
  • EUR/USD faltered after trading 1.2000 Mon, option resistance remains here

  • Several billion 1.2000 FX option expiries throughout this week

  • Culminates with biggest individual strike on Friday - around EUR 2-billion

  • Expect delta hedging from those trying to offset strike risk (selling above)

  • Option implied volatility has eased from Mon's highs as USD decline stalls

  • 1-month 6.2 from 6.5, but longer dated maturities stay firm - 1-year 6.3

  • Risk reversals hold better premium for EUR calls vs puts - topside wary



1-3-12-month EUR/USD 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
© 2021 eFXdata · All Rights Reserved
!