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Aug 06 - 03:55 AM

EUR/USD - FX Options Reflect EUR/USD Outlook And Extent Of NFP Risk

By Richard Pace  —  Aug 06 - 02:33 AM
  • EUR/USD new weekly lows 1.1819 Fri, middle of recent 1.1752-1.1909 range

  • 1-3-month Option risk reversals show a lack of EUR/USD directional bias

  • They would typically hold a premium for strikes in most vulnerable direction

  • Very low implied volatility reflects lack of actual volatility/expectations

  • Even overnight expiry implied volatility is very low, despite NFP inclusion

  • Suggests NFP deemed unlikely to reignite volatility/direction nL1N2PC0HR

For more click on FXBUZ


EUR=EBS Click here

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

Source:
Refinitiv IFR Research/Market Commentary

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