Implied volatility gauges realised volatility risk within FX option premiums
Risk reversals show the FX direction most likely to lift implied volatility
EUR/USD risk reversals marginally increase downside vs upside strike premium
1-month 25 delta is 0.2 from 0.1 last week, 3-month paid 0.325 EUR puts Tue
Benchmark 1-month expiry implied volatility 5.3 vs 2-yr low 4.95 last week
Price action recognises recent USD gains and factors potentially hawkish Fed
However, prices still low and volumes tame, so more range trading likely
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