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Apr 13 - 03:55 AM

EUR/USD - Huge Options And Low U.S. CPI Risk Premiums Telling

By Richard Pace  —  Apr 13 - 02:12 AM
  • EUR/USD clings to a tight range around 1.1900 over recent days

  • DTCC data shows multi billion option expiries 1.1900-25 all week

  • Those with exposure to option strikes hedge with cash - help contain spot

  • Implied volatility close to pandemic lows - less expected actual volatility

  • Overnight expiry implied vol 6.75 - also very low given US CPI data in mix

  • Break-even for simple vanilla straddle just 33 pips in either direction




For more click on FXBUZ


EUR/USD overnignt expiry implied volatility Click here

EUR/USD option expiries Click here

Source:
Refinitiv IFR Research/Market Commentary

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