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Jan 28 - 05:55 AM

EUR/USD - Downside Option Premium High Since June - But No Panic

By Richard Pace  —  Jan 28 - 03:50 AM
  • Benchmark 1-month risk reversals 0.2 implied vol premium EUR puts over calls

  • Highest downside premium since June - off from .6 EUR calls (topside) in Dec

  • Price shift in Jan reflects falling topside conviction, paring of EUR calls

  • However, overall premium still small - no panic to protect downside just yet

  • EUR put premium means implied volatility should gain as spot falls

  • Implied volatility off crisis lows- 1-month 6.25 vs 5.75, but peaks for now

  • Watch for further gains - would suggest downside fears are growing

  • 1.2000 contains big barriers - stops and short gamma below - danger zone

  • Related comment nL1N2K20KD

EURUSD implied volatility Click here

EUR/USD 1-3-12-month expiry option risk reversals Click here

Refinitiv IFR Research/Market Commentary


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