Traders pile in for euro protection
LONDON – Options prices in EUR/USD were at elevated levels last week as traders continue to protect against euro downside risks, with the absence of detail in the European Union's bailout package for a debt-laden Greece.
By Friday (February 12), one-month options prices remained high at 11.6 vols, though down from panic levels of 13 vols at the beginning of the week before Thursday's EU announcement offering support. Three-month 25-delta EUR/USD risk reversal stayed skewed at around 1.5 vols.
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