The recent increase in the price of options that protect against EUR/USD gains has peaked.
The implied vol premium for EUR calls over puts on the one-month 25 delta risk reversal is back from highs since July at 0.4 to 0.275 EUR calls.
Even when EUR/USD was looking to test 1.1200 and option market makers raised the price to protect against gains above that, uptake was minimal.
Implied vols remain at the low end of long-term ranges, which is consistent with a lack of realised and expected spot volatility.
The benchmark one-month contract at 5.25 is now less that 1.0 vol above its record low from April, and one-year just 0.15 above its own record low at 5.6 from 2007.
Implied vols have been low all year, which is no surprise given the lack of spot volatility within limited ranges.
Current option price action reinforces the perception that this scenario will continue for now.
Expect some support at 1.1100 near term nL2N27805B and limited reaction to Draghi's last ECB nL2N278048.