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Mar 25 - 07:55 AM

EUR/USD - FX Option Pricing Reflects Concerns About More EUR/USD Losses

By Richard Pace  —  Mar 25 - 05:55 AM
  • EUR/USD FX option implied volatility peaks after CNH led spike on Friday

  • USD/CNH 1-month back at 3.75 from 4.75 (was 7-year lows at 2.5 Thursday)

  • Benchmark 1-month EUR/USD now 5.4 from 5.75 peak Fri (2-year low 4.9 Thurs)

  • However, EUR/USD risk reversals retain stronger USD call vs put vol premium

  • 1-month 25 delta 0.15 Thur to 0.35 Fri, 3-month 0.35 to 0.475, yet to ease

  • Shows market still wary of EUR/USD losses that could lift implied volatility

For more click on FXBUZ

Source:
Refinitiv IFR Research/Market Commentary

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