• EUR/USD option risk reversals widen — EUR put over call volatility premium signals persistent downside FX risk

• 1-month 25-delta risk reversal increases to 0.55, from 0.45 Monday and 0.35 last week

• Volatility premium echoes prior warning: same signal preceded EUR/USD's break below 1.1400

• Implied volatility rises as EUR/USD slips on US-Iran deal setback, oil price gains

• Rising downside premium justified - risk reversals holders benefit from lower spot and higher implied vol

• However, premium yet to threaten 0.725 April/June peak; US CPI now the key swing factor

• Huge 1.1400 option expiry helps contain ahead of any US CPI surprise
EUR/USD 25 delta risk reversals


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