Derived Data That Drive Results
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
EUR/USD 1-3-12-month expiry 25 delta risk reversals Click here
1-2-3-month EUR/USD FXO implied volatility Click here
Source:
Refinitiv IFR Research/Market Commentary
