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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.

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