EUR/USD at 1.1464 exhibits an elevated vol risk premium (VRP) of +2.3%, with IV at 7.1% vs HV30 at 4.8%. This suggests the options market is pricing in significant protection relative to recent realized movement. COT LF net short -49,290 aligns with the +150bp USD carry advantage. The negative 25d RR (-0.67) confirms a persistent put skew, indicating that despite the 1W flat performance, the market remains biased toward EUR downside protection.
EUR/USD VRP: +2.3%, COT EUR LF Net: -49,290, 25d RR: -0.67
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