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Mar 24 - 08:55 AM

EUR/USD - COMMENT-EUR/USD Options Grow Increasingly Bearish

By Richard Pace  —  Mar 24 - 07:10 AM

EUR put/USD calls are EUR/USD FX options that would benefit from steeper EUR/USD declines, and the premium and demand for such options has been growing.

Implied volatility is the market's perception of actual volatility over a given period.
It's used to determine the option's cost.
Risk reversals benefit from increased volatility in a particular direction, and will therefore demand a premium for option strikes on the vulnerable side of the market.
Risk reversals across the entire one- to 12-month expiry curve trade with a EUR put/USD call premium (EUR/USD downside).

One-month expiry has been trading either side of neutral since January, but now eyes early March and highs since May 2020 at 0.375 EUR puts/USD calls.
Three-month expiry tests early March and highs since June 2020 at 0.2 EUR puts/USD calls.
One-year lost its topside premium last week, and trades 0.05 EUR puts/USD calls Monday, levels last seen July 2020.

Outright demand for EUR call options continues, too - various strikes down to 1.1600, mostly in a one-to-3-month-expiry horizon.

For more click on FXBUZ

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

Refinitiv IFR Research/Market Commentary


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