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Apr 04 - 05:55 AM

EUR/USD - FX Option Prices Easing, But Beware The May Bounce

By Richard Pace  —  Apr 04 - 03:40 AM
  • Weaker USD/firmer EUR/USD weighs back on EUR/USD FXO implied volatility

  • Shorter dated expiries underpinned before Friday's US NFP, Wed's CPI data

  • Leaves more downside potential after risk premium priced out post data

  • 1-month expiry included May 1 Fed from this week - lends additional support

  • 1-month implied vol 5.75 Tue-Wed vs 2-year low 4.9 last week, now 5.6

  • Risk reversal easing amid firmer spot - USD call vs USD put premium

  • 1-month 25 delta risk reversals retreat to 0.275 from 0.375 USD calls

  • EUR/USD implied volatility historically falls in April before bounce in May

  • FX options wrap: Abundant indicators of future FX market trends nL2N3GC17S

For more click on FXBUZ

Source:
Refinitiv IFR Research/Market Commentary

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