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May 18 - 09:48 PM

EUR/USD - Crisis Low EUR/USD Option Volatility Speaks Volumes

By Richard Pace  —  May 18 - 03:30 AM
  • EUR/USD option market implied volatility sits close to crisis lows

  • Shows that dealers perceive limited actual volatility, expect range trade

  • Benchmark 1-month implied vol settles 6.7 - in line with daily realised vol

  • That means actual volatility is just enough to offset the cost of the option

  • Risk reversals have seen EUR put over call vol premium retreat to 0.45

  • Shows EUR risk remains to downside, but it's small (was 3.0 vols in March!)

EURUSD risk reversals Click here

EUR/USD 1-month vols Click here

Refinitiv IFR Research/Market Commentary


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