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Friday, November 03, 2006
FX OPTIONS: EUR/USD Erosion of R/R Premium for EUR Calls
The risk reversal curve's EUR call premium has eroded on the back of the underlying's US NFP-fuelled slump. 3mth through 1 year 25 delta R/R's are now flat at 0.05/0.25 EUR calls over. The 1 year 25 delta R/R was 0.2 pct bid for EUR calls pre-NFP.
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