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Jul 29 - 03:55 AM

EUR/USD - FX Option Prices Reflect Post Fed EUR/USD Outlook

By Richard Pace  —  Jul 29 - 02:55 AM
  • Forward looking EUR/USD FX options have seen risk premiums fall post Fed

  • The tiny premium for downside vs upside options has been totally erased

  • Falling implied volatility consistent with low actual volatility outlook

  • 1-3-month risk reversals neutral - no directional premium at all

  • Outright flows have seen more sellers of options - banking premium

  • Suggests range trading expected to prevail over coming sessions

  • However, options do retain some risk premium for NFP and Jackson hole

For more click on FXBUZ


EUR/USD 1-month option implied volatility Click here

EUR/USD 1-3 month expiry option risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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