EUR/USD - Vols hit 11-day low, risk reversals still depressed

• One-month at the money option volatility hit 11-day low of 6.30
• One-month risk reversals ticked higher to 0.30 but still remain below the Nov. 15 high of 0.40.

Vols & risk reversals

• The drop in the volatility is usually accompanied by an uptick in the underlying, i.e. EUR/USD could rise above the Nov. 15 high of 1.1861.
• A move above 1.1861 would revive interest in the EUR calls and push risk reversal gauge above the recent high of 0.40.