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May 15 - 06:55 AM

EUR/USD - Forward Looking FX Options Flag EUR/USD Expectations

By Richard Pace  —  May 15 - 05:15 AM
  • EUR/USD implied volatility flags actual volatility expectations

  • 1-month expiry spikes - but that's Fed/ECB risk - not risk sentiment shift

  • Rest of implied volatility term structure languishes at long term lows

  • Small increase in risk reversal vol premium to .25 from .05 EUR put vs call

  • Prices show minor increase in downside risk but no real shift as yet

  • Price action shows any further losses expected to remain a grind/limited

  • Stops and short gamma touted sub 1.0800 which could increase FX volatility

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


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