• Broader G10 FX option implied volatility gains are capped by a lack of FX realised volatility

• EUR/USD 1-12-month curve retreats from last weeks highs - 1-month 6.5 vs 6.8, 1-year 7.0 vs 7.25

• A huge €10-billion+ of 1.1200 strike expiries and related hedging flow will help to shackle the pair this week

• However, risk reversal contacts show the options market remains wary of deeper EUR/USD declines

• Benchmark 1-month 25 delta risk reversals keeps last weeks new recovery high above 0.5 EUR puts over calls

• Risk reversals on other dates maintain a downside over upside strike premium, too

• Related comment - Break-even check: how far central banks could push FX this week
EUR/USD 25 delta risk reversals


Benchmark 1-month expiry FXO implied volatility

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