1-mth, 2-mth and 3-mth implied option volatilities have gone 7.5 pct bid-to-offered through the European session-to-date. The 1-mth expiry date is still Thursday January 11, as per yesterday, according to FENICS FX 2002. The 1-mth started the week 7.75 pct bid. Monday expiry dates are helping weigh on the 2-mth and 3-mth.
Expiry-wise: 1.3200 EUR call options roll off at the 10am EST NY cuts today and tomorrow. The size of today's 1.3200 strike is estimated at E250mn. A E500mn+ 1.3100 strike also expires today. On the exotic front: the main concentration of barriers are tipped between 1.3500 and 1.3600--inclusive of a large 1.3550 trigger. Pre-1.3500 exotic exposure is located at 1.3400, 1.3425, and 1.3450.
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