The document provides a historical analysis of EURUSD 1m implied volatility over a 5-year period, highlighting a generally declining trend with significant peaks in 2009-2010. It includes a trade strategy involving a 3-month European style 1.03% OTMspot EURUSD put and a 0.81% OTMspot EURUSD call, offered at zero premium. A scenario analysis table shows the mid net premium as a percentage of EUR notional for varying spot levels and time to expiry.
documents/vol00010-efta01461721-pdf.pdf
{"title":"EURUSD Volatility and Trade Analysis","document_type":"tabular","document_subtype":"financial analysis","key_organizations":["Bloomberg Finance L.P."],"reference_numbers":["DB-SDNY-0123920","SDNY_GM_00270104","EFTA01461721"]}