EUR/USD vols suffer on rangebound spot

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Wednesday, 22 February 2012 15:17

"EUR/USD spot has been trading a range on the 1.3200 handle since this last Greek aid tranche was agreed at the start of the week, which has obviously been pressuring implied vols, especially with realised vols already lower. The benchmark 1mth atm contract is just a few ticks shy of the 10 Feb and 10mth lows of 10.55 this morning and with the hourly realised vol at this same level - an obviousd attraction where support is anticipated. 3mth atm has marginally extended its own recent and 10mth low to 11.0, but has another 0.5 before testing its hourly realised and 1yr has matched its own recent and long term base at 12.2. Risk reversals have also surrendered more of the gains seen last week when spot tested those sub 1.3000 levels on Thursday - 1mth 25 delta now 1.8 from 2.25 and 3mth 2.6 from 2.9 EUR puts. Overall interest remains relatively light whilst players await clearer directional signals. Expiries today are only going to help to maintain this range if all else fails to excite - our maturity calendars show strikes at 1.3200, 1.3225, 1.3250 and 1.3300."