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Dec 09 - 07:24 AM
EUR/USD - Why You Shouldn't Bet EUR/USD Moving Far Before ECB And Fed
First appeared on eFXplus on Dec 09 - 05:20 AM
  • Huge option expiry hedging is helping to contain EUR/USD this week

  • Massive EUR 3-bln expiries by 1.1070 Mon-Tues, big strikes 1.1100 all week

  • Long gamma a real bane for volatility through most of December nL1N28J03N

  • Options expiring pre Fed/ECB low, reflect lack of n-t expected volatility

  • Overnight (Tuesday) expiry vol 5.0 - break-even for straddle just 23 pips

  • Only 33 pips for Wed's. Thursday gets ECB/Fed, still only 7.0 vol/56 pips

  • Straddle captures spot moves in either direction

EUR/USD option expiries: Click here

Refinitiv IFR Research/Market Commentary


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