• EUR/USD lower in response to latest Mid-East escalation and Iran closure of straight of Hormuz, higher oil price

• FX option implied volatility higher in response - 1-month 5.5 from 5.15 Friday (recent/2026 low 4.9)

• Tuesday's US CPI data adds a further layer of FX volatility risk. However, vol gains proving limited so limited

• EUR put over call vol premium via risk reversals reflects greater risk of EUR losses vs gains, but steady since last week

• EUR still in grip of huge 1.1400 strike expiries - another 1.1bln euros Mon, 2.6bln Tues and more Wed-Thurs

• EUR/USD danger zone remains at post 17 June Fed and 1-year lows at 1.1325 and 1.1300 option barriers
EUR/USD FX option strikes expiring July 13-17


EUR/USD FXO implied volatility


EUR/USD 25 delta risk reversals


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