• EUR/USD 1-month 25 delta option risk reversals hold 0.425 EUR puts over calls despite the broader vol collapse

• This downside skew has eased from a 0.55 peak early Tuesday, signalling reduced downside risk to spot

• However, it's still above last week's 0.35 level, showing those downside risks have not yet fully unwound

• Spot may be range bound, but options still price a meaningful EUR/USD downside tail risk

• The rest of the term structure shows risk reversals holding a 0.4 EUR-put premium out to 1-year tenors

• Suggests a structural, not just event-driven, downside bias in EUR/USD - for now
EUR/USD 25 delta risk reversals


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