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Jan 04 - 05:55 AM

EUR/USD - FX Options Not Betting On Sustained EUR/USD Losses

By Richard Pace  —  Jan 04 - 04:00 AM
  • EUR/USD FX option implied volatility is higher going in to 2024

  • Friday's U.S. NFP risk and broader USD recovery driving demand so far

  • However, traders say EUR/USD downside strike covering not overly strong

  • Suggests market participants not yet betting on sustained EUR/USD losses

  • There is a volatility premium for downside strikes, but hardly excessive

  • 1-month risk reversal 0.25 vs l-term low 0.1 EUR puts over calls late Dec

  • Premium was 0.45 in mid December, 0.7 in Oct and l-term peak 1.4 March 2023

For more click on FXBUZ

Source:
Refinitiv IFR Research/Market Commentary

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