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6 Sep 2013
Flash: Narrowing range of EUR/USD may weigh on volatility – BoA-MA
FXstreet.com (Lisbon) - The Research Team at Bank of America – Merrill Lynch grapples the volatility patterns of the EUR/USD.
Key quotes
“The EUR/USD has frequently overshot our range of fair value estimates. While this suggests that valuation is a minor consideration for most spot flows, there is some evidence that it affects volatility markets.”
“The present tight range of estimates may help to explain why volatility in EUR/USD has remained so low while tapering has roiled markets. The steepness in the EUR/USD volatility curve makes us inclined to maintain a short vega bias.”
Key quotes
“The EUR/USD has frequently overshot our range of fair value estimates. While this suggests that valuation is a minor consideration for most spot flows, there is some evidence that it affects volatility markets.”
“The present tight range of estimates may help to explain why volatility in EUR/USD has remained so low while tapering has roiled markets. The steepness in the EUR/USD volatility curve makes us inclined to maintain a short vega bias.”