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Friday, November 10, 2006
FX OPTIONS: EUR/USD Macro Fund Buying of EUR Calls
We are hearing reports that macro funds have been buyers of EUR call options today. Such interest has helped inflate the risk reversal curve's topside strike premium. The 1 year 25 delta R/R is currently 0.35/0.5 EUR calls over, having been 0.35 pct offered for EUR calls yesterday.
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