Derived Data That Drive Results
By Richard Pace — Aug 14 - 05:50 AM
EUR/USD option positions are very light above 1.1000, compared to below
Potentially less related cash hedging flows to contain volatility
Option risk reversal contracts already reflect EUR/USD topside concerns
Implied volatility gaining with spot to recognise increased upside risk
More buyers of short dated expiry topside strikes now emerging
Overnight expiry 1.1075 strike paid 13.75, 1-month implied vol paid 6.0
Broader FX options warn of U.S. CPI risk to FX volatility nL1N3K108C
For more click on FXBUZ
EUR/USD 1-week and 1-month FXO implied volatility now higher with spot Click here
EUR/USD FX options 1-week, 2-week and 1-month 25 delta risk reversals Click here
Source:
Refinitiv IFR Research/Market Commentary
