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Sep 22 - 04:55 AM

EUR/USD - Warning - Upside Option Premium Now Almost Gone

By Richard Pace  —  Sep 22 - 02:35 AM
  • EUR/USD options charged premium for EUR calls vs puts (topside) since June

  • From 1 to 12-months - it showed risk of EUR gains, was greater than losses

  • If ignoring early March panic pricing - premium was at multi year highs

  • Risk reversal contracts show that premium being eroded over recent weeks

  • 1-month risk reversal now just 0.15 from 0.9 EUR calls, 1-year 0.3 vs 0.8

  • It's a significant decline, and shows how this derivative is re-pricing risk

  • Related comment nL2N2GI092



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

Source:
Refinitiv IFR Research/Market Commentary

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