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Jul 28 - 11:55 AM

EUR/USD - REFILE-BUZZ-FX Options Wrap-Big Bets; EUR/USD Warning; August Win

By Richard Pace  —  Jul 28 - 10:15 AM

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The EUR/USD break of 1.1750 barriers late Monday helped implied volatility to recovery highs - one-month 8.3 (6.1 was mid July crisis low).
One-month risk reversals were paid 0.6, their highest EUR call over put (topside) volatility premium in two-and-a-half years, excluding the early March panic.
Combined with recent demand for topside protection, this price action hints at more EUR/USD gains to come nL2N2EZ094.

EUR/USD implied volatility has gained in every August since 2014, which should help to limit setbacks nL2N2EZ0CV.

USD/JPY option price action warns of steeper spot declines, with risk reversals bid for JPY calls over puts and implied volatility posting significant gains.
There's also been some very big bets on a steeper spot decline through 105.00 barriers nL2N2EZ0AI.

GBP/USD's next major hurdle is 1.3000 option barriers, a break of which would open pre-crisis highs above 1.3200.
However, one-month implied volatility is only marginally higher to 8.35 and 1-month risk reversals have yet to adopt a topside premium.
Huge 0.6675 NZD/USD expiry Wednesday nL2N2EZ0DM

For more click on FXBUZ











1-3-6-month EUR/USD risk reversals Click here

NZD/USD option expiry Click here

Benchmark 1-month implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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