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Jun 10 - 07:55 AM

EUR/GBP - Is EUR/GBP Coming Back To Life? Maybe Options Hold The Answer

By Richard Pace  —  Jun 10 - 06:00 AM
  • EUR/GBP drops to new low since Aug 2022 amid EU/French political woes

  • Had spent months tied to a low volatility range within 0.8500-0.8600

  • Low FX option implied volatility consistent with low realised volatility

  • However, implied volatility has spiked higher - especially 1-month expiry

  • Up 1.0 since Thursday to high since Jan - 1-month includes French elections

  • Other dates higher, too. Also buyers of GBP calls/EUR put strikes toward .84

  • Gives holders the right to sell EUR/GBP at the strike if better than spot

For more click on FXBUZ

Source:
Refinitiv IFR Research/Market Commentary

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