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Nov 19 - 06:55 AM

EUR/USD - Options At Crisis Lows - There's A Reason For That

By Richard Pace  —  Nov 19 - 05:15 AM
  • EUR/USD option market implied volatility is at crisis lows since March

  • Options thrive on volatility and rapid directional moves - they're lacking

  • EUR/USD stuck within 1.16-1.20 since July - that's a short volatility trade

  • Without risk of range breaking - implied volatility will stay low

  • However, there's a small vol premium for EUR calls over puts (topside)

  • While in place - shows market perceives topside remains most vulnerable

  • Related comments nL1N2I40YPnL1N2I30ZT




EURUSD IMPLIED VOLATILITY 1-3-12-MONTH Click here

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

Source:
Refinitiv IFR Research/Market Commentary

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