EUR/USD Vol Selloff Forecast

13 Dec 2011

Dealers are expected to sell volatility via vanilla put options over the next few weeks to hedge long volatility exposure built through selling tail risk hedges on euro/U.S. dollar.

Dealers are expected to sell volatility via vanilla put options over the next few weeks to hedge long volatility exposure built through selling tail risk hedges on euro/U.S. dollar.

Their exposure has been estimated to be over USD1 billion across the market, according to one trader, and will ...

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