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Mar 18 - 12:12 PM

EUR/USD - Option Clues - Downside Danger, But No Panic Yet

By Richard Pace  —  Mar 18 - 10:35 AM
  • EUR/USD unable to escape the broad USD demand,1.1045-1.0990 slide Wed's

  • Implied volatility higher, but no evidence of panic demand for options

  • Benchmark 1-month vol 11.0-11.8 Wednesday (12.5 was last weeks panic peak)

  • Risk reversals had already retreated from last weeks record EUR call premium

  • However, additional premium for EUR puts (spot downside) is tame Tues-Wed

  • 1-month risk reversals 0.3 EUR puts from 2.8 EUR calls last week

  • Outright demand for downside strike options relatively tame too

  • Pair likely needs threat of sustained break of Feb 2-yr low 1.0778 to panic

EURUSD 1-month implied volatility: Click here

EUR/USD risk reversals: Click here

Refinitiv IFR Research/Market Commentary


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