Recent desk chatter and option market activity have pointed to an increase in interest of EUR/USD parity. The euro weakness is derived from U.S. economic resiliency, monetary policy divergence, and the new U.S. administration posing tariff risks.
While the dollar has strengthened over the last week, taking the euro below 1.0600 on Tuesday session, skewness is showing that market participants do not expect the euro to make a comeback soon.
EUR/USD 1m risk reversals hold a 56bps premium in favour of puts, the 1y tenor ticks at 123bps, the most bearish since early July. As of the time of writing, 1m implied vol ticks at 7.745%, up 32bps on the session, the tenor now covers the December ECB monetary policy decision
Comments