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Friday, November 17, 2006

FX OPTIONS: EUR/USD 1-Year Vol At New All-Time Low

1-year implied volatility is currently 6.8/7.0--a new all-time low, according to our records. This follows a pre-weekend "slashing" of vols from today's European open. The current 1-year expiry date falls on a Monday (19 Nov 2007), according to FENICS FX 2002.

Trade-wise: The 1-year 10 delta R/R was transacted at 0.65% in an estimated E150mn a leg earlier today. The 1-year 25 delta R/R is 0.25/0.45 EUR calls over last.

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