• FX option implied volatility gauges actual volatility expectations

• It's well below early March highs in EUR/USD and remains under pressure

• Benchmark 1-month new setback low since late Feb at 7.6 vs 5 March peak 9.2

• Risk reversals charge vol premium for strikes in most vulnerable direction

• 1-month EUR/USD risk reversals flipped from downside to upside early March

• That contract has since regained a small downside strike implied vol premium

• Price action shows options expect more FX consolidation with a downside lean

• FX Options wrap - Month-end USD boost is unpursued
EUR/USD FXO implied volatility


EUR/USD FX options - 25 delta risk reversals

(Richard Pace is a Reuters market analyst. The views expressed are his own)