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EUR/USD: Huge increase in 'in the money' calls last Friday

FXStreet (Bali) - Last Friday, we saw a very substantial increase in EUR/USD 'in the money' call contracts, which implies some large participants are now betting for a directional bullish move in the Euro/US Dollar market for the November contract (6EX5), which expires mid next month.

Meanwhile, looking at implied volatility vs historical (20-period), the former, at 9.35, just recently crossed below the latter, at 9.80, suggesting that the market might be slightly more prone to buy volatility, which in turn implies any upside breakouts of key levels may well serve the purpose of neutralizing 'in the money' calls risk by selling the underlying EUR/USD market, also known as gamma scalping, a very common daily strategy used by large institutions.

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