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Nov 24 - 08:55 AM

EUR/USD - FX Options Wrap - Bearish Buck, Big EUR/USD, JPY Calls

By Richard Pace  —  Nov 24 - 07:20 AM

Very short-dated expiry option implied volatility was sold heavily before the U.S. holiday, but Wednesday's bearish U.S. data and Fed minutes hit the dollar and rewarded those who bought the lows.

USD/JPY implied volatility was the biggest gainer as downside strike premium for risk reversals helped fuel demand as spot fell.
One-week implied volatility gained 2.0 to 12.5 and 1-month 1.0 to 13.7.
Further gains noted in early London amid ongoing spot weakness and short covering of near-term expiry strikes to 137.00. nL1N32K0JQ

EUR/USD closed above its 100-day moving average at 1.0393 and reached 1.0447 Thursday.
Buyers of topside strikes noted as front-end expiry risk reversals lose more downside strike premium - 1-week 1.0500-50 strikes were popular and a Dec.
23 1.0800 EUR call/USD put was bought on several hundred euros. nL1N32K0HR

The USD fall fuelled GBP/USD higher and put the chocks under recent vol losses, but option interest is light and mixed for now, with a similar story in AUD/USD.
G10 option focus/premium stays with forthcoming U.S data and key central bank meetings.

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


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