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May 08 - 08:55 AM

EUR/USD - REFILE-BUZZ-Why EUR/USD 1.0750 Might Prove Magnetic Through U.S. CPI Data

By Richard Pace  —  May 08 - 06:40 AM

Adds link to CPI risk premium on last line

  • FX option traders report many sub 1-week expiry EUR/USD 1.0750 strike trades

  • It's the current spot rate and would suggest market is long gamma nearby

  • An abundance of existing strikes nearby can indicate long gamma positioning

  • DTCC traded options data does show some very big strikes due to expire soon

  • Largest on Monday between 1.0745-55 on 5-billion euros

  • 1-billion euros each expire 1.0750 on Tues, Wed and Thurs next week

  • Before those - 1-billion 1.0750 expire today and 2.1-billion 1.0745-60 Thurs

  • Options price volatility risk for US CPI - may be little to inspire FX prior

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


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