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Jan 11 - 03:55 AM

EUR/USD - Bull Warning From The FX Option Market

By Richard Pace  —  Jan 11 - 02:08 AM
  • Downside EUR/USD protection costs are growing

  • Risk reversals show which side of a market dealers deem most vulnerable

  • Sub 1-month expiries have lost their recent EUR call over put premium

  • EUR calls give holders the right to buy, EUR puts to sell EUR/USD

  • 1-month expiry now 0.025 EUR puts, versus 0.4 EUR calls early last week

  • Suggests implied volatility/option premium can gain as EUR/USD falls

  • Implied volatility is off last weeks lows- 1-month 6.9 from 6.5 Friday

  • Comes amid fears EUR/USD correction may have room to run nL4N2JL0LG



EUR/USD option risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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