EUR/USD - Risk reversals shed bearish bias, Vols spike
- EUR/USD risk reversals shed bearish bias.
- One-month at the money (ATM) volatility rises to highest since Oct. 25.
Risk reversals and Vols
One-month 25 delta risk reversals rose to -0.025. The improvement from the recent low of -0.225 (Nov, 7 low) indicates falling demand for bearish bets (put options).
Meanwhile, the one-month ATM vols rose to 6.45; the highest level since Oct. 25.
The combination of rising vols and falling demand for EUR puts could be an indication of a rally in the EUR/USD pair above 1.1679 (head and shoulders neckline).