technical analysis technical analysis technical analysis

FXO Market Update - Mar 15

Mathias Alrixon

OTC Derivatives Trading

Summary:  Risk has moved from Euro to Asia focus over the last days after reports Russia has asked China for military aid. EURUSD spot has range traded a fair distance above the lows over the last weeks and vols trades soft. USDCNH spot has traded up from 6.33 to 6.41 over the last days and vols and risk reversals are marked higher, 1 month is up 1.25 vol to 4.75 and 1 month RR up 0.5 vol to 1.0 for topside.

Saxo Bank publishes two weekly FX Options Market Update reports covering changes and updates on the FX Options and FX Volatility market. They describe changes in FX volatility levels, risk premium and ideas how to trade based on these.

FX volatility, source Saxo Bank. Vol column: At-the-money volatility for the given maturity. 1w column: Change of the at-the-money volatility for the given maturity over the last week.
Source: Bloomberg, 1 month vol, Blue: EURUSD, Black: AUDUSD, Green: USDJPY, Red: USDCNH

EURUSD hit new lows at 1.0800 on Monday last week and have since then traded higher and somewhat stabilized between 1.09-1.11. EURHUF and EURPLN spot have traded down around 6% from the highs last week and we have seen a quiet start of the week with spot moves slowing down. EURUSD 1 month has traded between 10.25 and 11.25 over the last week after peaking at 12.6 on Monday morning last week. EURPLN and EURHUF vol is down from the highs as well with spot lower but we still see mainly buying interest and liquidity remains poor. Both EURHUF and EURPLN trades around 16 vol after trading above 18 vol at the start of last week.

Market focus has now shifted to China after the recent headlines that Russia has asked China for military aid. USDCNH spot is up from 6.33 to 6.41 over the last three days and 1 month has jumped from 3.25 to 4.75 while 1 year is up from 4.80 to 5.30. 1 month risk reversal is 1.0 vol for calls compared to 0.50 a week ago while 1 year risk reversal is up from 1.10 to 1.35. 1 month vol and risk reversal is trading at the highest level in almost a year while the 1 year still trades at average levels.

We have seen some big move higher in USD over the last days with USDJPY breaking up above the 116 resistance and quickly moved up to current levels at 118 which is the highest level in 5 years. 1 month vol is up from 7.0 to 7.75 and 1 month risk reversal trades at 0.5 for puts after trading at 1.5 for puts a week ago. AUDUSD has grinding higher during the start of the year but the bulls gave in at the end of last week and spot has dropped from 0.7360 to now trade below 0.7200. Both vol and risk reversals have jumped to trade at YTD highs with 1 month at 12.1 and risk reversal at 2.1 for puts.
Source: Saxo Bank
  • The Top/Bottom charts shows the top 5 and bottom 5 values/changes for at-the-money vol, risk reversal (RR) and risk premium of the 45 currency pairs we are tracking.
  • Risk premium: Implied (Imp) minus realized volatility. A positive risk premium means implied volatility trades above realized volatility, i.e. the implied volatility can be seen as “rich”.
  • Change: The difference between current price/volatility and where it closed 1w ago.

FX Options Trading:

You should be aware that in purchasing Foreign Exchange Options, your potential loss will be the amount of the premium paid for the option, plus any fees or transaction charges that are applicable, should the option not achieve its strike price on the expiry date

If you write an option, the risk involved is considerably higher than buying an option. You may be liable for margin to maintain your position and a loss may be sustained well in excess of the premium received.

By writing an option, you accept a legal obligation to purchase or sell the underlying asset if the option is exercised against you; however far the market price has moved away from the strike. If you already own the underlying asset that you have contracted to sell, your risk will be limited.

If you do not own the underlying asset the risk can be unlimited. Only experienced persons should contemplate writing uncovered options, then only after securing full detail of the applicable conditions and potential risk exposure.

Learn more about FX Options:

Forex Options – An introduction

Forex Options – Exotic options

Forex Options - Webinars


The Saxo Bank Group entities each provide execution-only service and access to Analysis permitting a person to view and/or use content available on or via the website. This content is not intended to and does not change or expand on the execution-only service. Such access and use are at all times subject to (i) The Terms of Use; (ii) Full Disclaimer; (iii) The Risk Warning; (iv) the Rules of Engagement and (v) Notices applying to Saxo News & Research and/or its content in addition (where relevant) to the terms governing the use of hyperlinks on the website of a member of the Saxo Bank Group by which access to Saxo News & Research is gained. Such content is therefore provided as no more than information. In particular no advice is intended to be provided or to be relied on as provided nor endorsed by any Saxo Bank Group entity; nor is it to be construed as solicitation or an incentive provided to subscribe for or sell or purchase any financial instrument. All trading or investments you make must be pursuant to your own unprompted and informed self-directed decision. As such no Saxo Bank Group entity will have or be liable for any losses that you may sustain as a result of any investment decision made in reliance on information which is available on Saxo News & Research or as a result of the use of the Saxo News & Research. Orders given and trades effected are deemed intended to be given or effected for the account of the customer with the Saxo Bank Group entity operating in the jurisdiction in which the customer resides and/or with whom the customer opened and maintains his/her trading account. Saxo News & Research does not contain (and should not be construed as containing) financial, investment, tax or trading advice or advice of any sort offered, recommended or endorsed by Saxo Bank Group and should not be construed as a record of our trading prices, or as an offer, incentive or solicitation for the subscription, sale or purchase in any financial instrument. To the extent that any content is construed as investment research, you must note and accept that the content was not intended to and has not been prepared in accordance with legal requirements designed to promote the independence of investment research and as such, would be considered as a marketing communication under relevant laws.

Please read our disclaimers:
Notification on Non-Independent Investment Research (
Full disclaimer (
Full disclaimer (

Saxo Bank A/S (Headquarters)
Philip Heymans Alle 15

Contact Saxo

Select region


Trade responsibly
All trading carries risk. Read more. To help you understand the risks involved we have put together a series of Key Information Documents (KIDs) highlighting the risks and rewards related to each product. Read more

This website can be accessed worldwide however the information on the website is related to Saxo Bank A/S and is not specific to any entity of Saxo Bank Group. All clients will directly engage with Saxo Bank A/S and all client agreements will be entered into with Saxo Bank A/S and thus governed by Danish Law.

Apple and the Apple logo are trademarks of Apple Inc, registered in the US and other countries and regions. App Store is a service mark of Apple Inc. Google Play and the Google Play logo are trademarks of Google LLC.