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Jan 13 - 03:55 AM
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EUR/USD - Don't Ignore Effect Of Seven Billion EUR/USD Options

By Richard Pace  —  Jan 13 - 02:04 AM

  • 7-billion EUR/USD option strikes between 1.2190-1.2250 expire Jan 19

  • nL1N2JO0EO. Those with exposure will typically trade cash around strikes

  • These related hedging flows have potential to contain/draw FX price

  • Option prices already easing as USD demand falters for now

  • Benchmark 1-month expiry implied volatility 6.7 from 6.95 this week

  • 1-month risk reversals now neutral from 0.075 EUR puts (downside) Monday

  • Related comment nL1N2JN0QA



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

Source:
Refinitiv IFR Research/Market Commentary

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