The FX options market hints that investors may not be that pessimistic on EUR/USD after all, economists at ING say.
We have recently been discussing the very low levels of implied and realised volatility in EUR/USD. At the same time, however, the risk reversals – the price of a Euro put over a similar delta Euro call – have actually been showing the market becoming less pessimistic on the EUR.
Despite the doom and gloom surrounding the eurozone economy, it seems that investor conviction over a lower EUR/USD is fading.
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