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Nov 01 - 06:55 AM

EUR/USD - Options On Alert For Fed - Downside Hedges Attractive

By Richard Pace  —  Nov 01 - 05:19 AM
  • EUR/USD implied volatility higher amid rates volatility and Fed risk

  • 1-week expiry captured Fed from Thursday, NFP Friday - premiums ramped

  • 1-week implied volatility peaked 6.5 from 5.0, but currently 6.1

  • Gains reflect risk premium - perceived threat of increased actual volatility

  • Benchmark 1-month reached 5.3 from 4.8 last week, even 1-year 5.65 to 5.9

  • Risk reversals add EUR put (downside) strike premium, but below recent peaks

  • Market better prepared for 1.15 barrier breach, if it comes

  • EUR put RKO remains an attractive downside hedge nL1N2RN0NC

  • Huge 1.6-billion 1.1585 expiry Tuesday might help contain near term

For more click on FXBUZ


EUR/USD FX option strikes expiring this week Click here

EUR/USD 1-week and 1-month expiry FX 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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