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Oct 30 - 11:55 AM

EUR/USD's Downside Risk Premium Is Waning - That's Encouraging

By Richard Pace  —  Oct 30 - 09:35 AM
  • EUR/USD options repriced significantly higher this week

  • Implied volatility multi month highs - flags US election risk nL1N2HK0MB

  • Option premium for EUR calls over puts (spot topside) was erased

  • 1-month risk reversals traded 0.2 EUR puts/USD calls - high since June

  • Market makers were clearly wary of any post election USD demand

  • However, uptake was actually low nL1N2HL0FH, and prices now falling

  • 1-month risk reversals sold 0.125 EUR puts/USD calls Friday

  • Implied volatility peaks too - 1-month sold 8.0 from 9.0 mid week

  • Major bank confident EUR/USD on route to 1.3000 nL1N2HL13W




1-3-month EUR/USD risk reversals Click here

EUR/USD 1-week implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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