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Jun 11 - 11:55 AM

EUR/USD - FX Options Wrap-EUR/USD 1.20, AUD Risk, Buying The Dip

By Richard Pace  —  Jun 11 - 09:55 AM

Risk appetite knocked by the Federal Reserve and rising U.S. coronavirus cases, but there are reasons to buy the dip nL1N2DO0C4.
EUR/USD post-Fed implied volatility and cash setbacks were bought on Thursday as dealers bet on more EUR/USD gains nL1N2DO0QZ.
EUR call volatility premiums tested 0.5 on the one-month risk reversal Wednesday and met demand on dips to 0.35.
Outright short-cover demand was seen for strikes as high as 1.2000 EUR/USD in longer dates and between 1.15-1.17 in front end, to highlight viable targets nL1N2DO0AY.
Vols in other pairings have eased from Wednesday's highs, but setbacks also tame.
AUD/USD one-month 13.65 to 12.5, but quickly regained 13.25, still the highest one-month implied volatility in G10 FX -- justified compared with higher frequency value metrics nL1N2DO0ED.
Risk reversals gain this week to warn of heightened AUD/USD setback risk nL1N2DO095.
USD/JPY one-month 5.6 to 7.5 this week, with setbacks to 6.8 bought since.
Cable one-month clings to 9.0 for now.
one-week now propped up by Bank of England rate meeting risk and holds around 10.0.

1-month AUDUSD vols Click here

Benchmark 1-month implied volatility in most commonly traded currency pairs Click here

EURUSD risk reversals Click here

Refinitiv IFR Research/Market Commentary


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