### POV: OPTIONS MARKET BECOMING........>

EURO-DOLLAR: ### POV: OPTIONS MARKET BECOMING INCREASINGLY WARY ON THE EUR AHEAD

OF ECB

-EUR/USD 1w implied vols have remained well bid as the contract brings

Thursday's ECB meeting into scope and as USD realised vol picks up. Despite the

run-up in realised, implied vols have outperformed for over a week now and it's

clear the market is becoming increasingly wary over what remains a historically

high net long EUR position.

-EUR/USD 1m risk reversals have dropped to the lowest in over a month, following

spot lower and swinging into negative territory (puts over calls) for first time

since late March (when the contract was mid-recovery from February's

equity-inspired dip).

-The option expiry calendar appears to want EUR/USD slightly lower by Friday's

close thanks to huge E3.86bln worth of EUR/USD put options due to expire at 1.22

on Thursday. Outside of that 1.22 expiry, the bulk of expiries post-ECB are

layered between 1.22-1.24 and not below the current spot price (1.2210 at

writing).