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Jul 22 - 02:55 AM

EUR/USD - Clings To Big Expiries - Options Flag ECB And Fed Risk

By Richard Pace  —  Jul 22 - 02:31 AM
  • Hedging of 1.3-bln 1.1800-10 expiries to help contain pre ECB nL1N2OY08T

  • Implied volatility back toward recent lows as risk aversion wanes

  • Benchmark 1-month didn't gain much amid risk aversion, now 5.2 from 5.5

  • However, Overnight (Friday) expiry remains underpinned by ECB risk premium

  • 7.75 to 9.75 when first captured ECB Wed - not excessive - tame expectations

  • 1-week implied volatility 5.3 to 6.1 since Wed as now captures FOMC meeting

  • Risk reversals hold tiny downside vol premium at 0.125 EUR puts over calls


For more click on FXBUZ


EUR/USD 1-month option implied volatility Click here

o/n and 1-week EUR/USD 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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