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Apr 27 - 04:55 AM

EUR/USD's Outlook Is Bleak - Manifested In FX Option Pricing

By Richard Pace  —  Apr 27 - 02:37 AM
  • Near term outlook for EUR/USD is bleak - option pricing reflects that

  • Options thrive on volatility and outsized directional moves - both lacking

  • Benchmark 1-month expiry implied volatility matches Fridays 5.4 pandemic low

  • Low implied volatility means expectations of low actual volatility

  • Even current low implied levels aren't yet cheap nL1N2MJ0OI

  • Small 0.15 premium for EUR calls over puts (topside), but capped for weeks

  • Hedging of big expiries wont help volatility n-trm nL1N2MK0BFnL1N2MJ0UZ

For more click on FXBUZ


EURUSD option expiries Click here

EUR/USD 1-month implied volatility Click here

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

Source:
Refinitiv IFR Research/Market Commentary

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