Demand for euro options spikes post-Jackson-Hole

Euro Dollar
By Beth Shah
26 Aug 2014

Investors have increasingly been buying options on the euro against both the dollar and sterling, as market participants expect further volatility to occur in the single currency following comments from European Central Bank president Mario Draghi at last week’s annual symposium in Jackson Hole.

According to fx options traders in New York, options that were euro-related were in significant demand on Tuesday with volatility on €/$ and €/£ increasing despite minimal spot movement on both pairs. Monday and Tuesday saw sizeable risk-reversals purchased on €/$ with notionals each at €600mn costing 0.325%.

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