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Aug 03 - 04:55 AM

EUR/USD - Massive Options Underpin EUR/USD, Directional Premium Gone

By Richard Pace  —  Aug 03 - 02:40 AM
  • Massive EUR/USD option expiries and related hedges mid 1.18's, underpin

  • 1.6-billion 1.1840-55 Mon, 1.4-bln here Wed, and 3bln Thurs nL1N2P90FF

  • EUR/USD tight 1.1869-82 range Tues, Thurs low 1.1841, Fri's high 1.1909

  • Option implied volatility heavy, and 1-3-month risk reversals are neutral

  • Means there's no additional premium for option strikes in either direction

  • Option price action consistent with range trading and low volatility

For more click on FXBUZ


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

EUR/USD FX option strike expiries this week Click here

Source:
Refinitiv IFR Research/Market Commentary

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