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Feb 14 - 03:48 AM

EUR/USD - Options Show EUR/USD Downside Risk At New High Since Sept

By Richard Pace  —  Feb 14 - 02:35 AM
  • As expected - 1.0850 barrier break fueled option market repricing

  • Risk reversals erased last of any EUR call vol premium out to 3-months

  • 1-month risk reversals now 0.2 EUR puts over calls - high since September

  • Implied vols higher - 1-month now 1.0 vol above recent and record lows

  • Even 1-year vol is 0.35 above its 4.95 record base now

  • More barriers expected 1.0825-1.0800, lack of bounce leaves them at risk

  • Big vanilla option expiries nearby Friday nL1N2AE03V

  • Related comment nL1N2AD1AI



EURUSD IMPLIED VOLATILITY: Click here

EUR/USD risk reversals: Click here

Source:
Refinitiv IFR Research/Market Commentary

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