Nov 24, 2017
EUR/USD - Vols hit 11-day low, risk reversals still depressed
- One-month at the money option volatility hit 11-day low of 6.30
- One-month risk reversals ticked higher to 0.30 but still remain below the Nov. 15 high of 0.40.
Vols & risk reversals
- The drop in the volatility is usually accompanied by an uptick in the underlying, i.e. EUR/USD could rise above the Nov. 15 high of 1.1861.
- A move above 1.1861 would revive interest in the EUR calls and push risk reversal gauge above the recent high of 0.40.