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May 23 - 08:55 AM

EUR/USD - FX Options Suggests Deeper EUR/USD Losses Are Hard Fought

By Richard Pace  —  May 23 - 06:45 AM
  • FX options thrive on volatility and gauge it with implied volatility

  • EUR/USD implied volatility remains heavy by recent and year-long lows

  • 1-week sub 6.0 and benchmark 1-month expiry just above Fri's 6.65 base

  • 1-month risk reversals hold a small 0.25 EUR put/USD call vol premium

  • Risk reversal premium low, but suggests implied vol gains if EUR/USD drops

  • Those worried about sudden EUR/USD drop might therefore consider options

  • Recent trades were consistent with U.S. debt default hedges

For click on FXBUZ

Refinitiv IFR Research/Market Commentary


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