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Mar 16 - 05:55 AM

EUR/USD - This Consistent EUR/USD Option Flow Might Worry EUR/USD Bulls

By Richard Pace  —  Mar 16 - 03:37 AM
  • FX option markets show a consistent stream of 1.1900 EUR put buyers of late

  • Would allow holders to sell EUR/USD at 1.1900, if it were below at expiry

  • Options to sell EUR/USD trade a premium to those that allow holders to buy

  • Shows dealers perceive EUR/USD's downside more vulnerable than upside

  • 1-month risk reversals show EUR puts trade 0.2 vol premium over calls

  • Implied volatility/option prices elevated before FOMC Wednesday

  • However, not expensive - a hedged option risks minimal loss nL8N2LD3YD




    For more click on FXBUZ

EUR/USD 1-3-12-month expiry option risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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