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Mar 01 - 06:55 AM

EUR/USD - Options Warn EUR/USD Bulls To Tread With Caution

By Richard Pace  —  Mar 01 - 04:36 AM
  • EUR/USD options maintain a high volatility and downside risk premium

  • It shows actual volatility risk high, and dealers wary of spot weakness

  • Benchmark 1-month implied vol spiked 6.0-7.0 Thurs-Fri, setbacks stall 6.6

  • That's 1.0 above 1-month daily historic - its fair value measure

  • 1-month risk reversals show EUR put over EUR call premium at 0.3 Fri/Mon

  • That's Feb high for downside over upside strikes, previously seen June 2020

  • Related comment nL2N2KZ0K8



For more click on FXBUZ


Benchmark 1-month EUR/USD implied volatility well above its daily historic Click here

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

Source:
Refinitiv IFR Research/Market Commentary

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