• EUR/USD FX option implied volatility remains close to multi year lows - consistent with low realised volatility

• However, gains in the 1-month contract reflect September 16 US Fed decision and seasonal return of FX volatility

• Risk reversals are a volatility strategy based on currency direction - they have held a EUR put over call strike premium since Feb

• However, benchmark 1-month expiry 25 delta risk reversals have almost erased that long standing downside strike premium

• A return to EUR calls over puts (topside) would suggest the FX options market is growing more wary of further EUR/USD spot gains

• Related - EUR/USD bulls face more hurdles
EUR/USD 25 delta risk reversals


(Richard Pace is a Reuters market analyst. The views expressed are his own)