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Jun 10 - 01:55 PM

EUR/USD - FX Options Show Frenzy To Cover Topside Shorts

By Richard Pace  —  Jun 10 - 10:10 AM
  • EUR/USD option market implied volatility and EUR call premiums still gaining

  • Short covering drives, as dealers cover investors lust for topside

  • It's seen implied volatility ramped - benchmark 1-month to 8.0 from 7.0 Mon

  • Big gains for EUR call over put implied vol premiums on risk reversals

  • 1-month to 0.45 vs 0.1 Monday, and 3-month flips from EUR puts to calls now

  • If EUR/USD keeps gaining, so should implied volatility - rewarding holders

  • Fed expectations nL1N2DN0DF



EURUSD 1-3-month vol Click here

EUR/USD risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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