• EUR/USD revisits early April lows below 1.1600 amid souring risk appetite and higher US yields - lifting FX option premiums

• A huge EUR 1.1 billion 1.1600 FX option expiry and related hedging flows may help contain price action Wednesday

• Benchmark 1-month expiry implied volatility tests 6.0 from last week's new low since January at 5.35 - still well below 9.0 March peak

• Risk reversals nudge up to 0.6 EUR puts over calls in 1-month expiry — but that's less than half the 1.5 peaks seen in early March

• Mild hedging flows covering potential to the 1.1500 triple bottom from early April have been reported, but there's certainly no panic

• Bottom line: FX options are telling a story of measured EUR/USD caution — recognising the risk but not expecting a rapid decline

• Related - There's still value despite higher AUD/USD option prices
EUR/USD FXO implied volatility


EUR/USD 25 delta risk reversals


(Richard Pace is a Reuters market analyst. The views expressed are his own)