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OPTION VOLATILITIES

The US dollar index has stabilized as the trading week begins.  Last week the dollar lost some ground against all the major currencies as the week progressed.  The Federal Reserve decision on interest rates on Wednesday kept the Fed Fund rate at 5.25% which led to a delayed reaction of USD weakness.  This week might bring some erratic action as it is the last week in September and the last week in the quarter.  Volatilities continue to drift lower as the market seems to maintain the larger trading ranges in the majors.

Option volatilities are lower once again this week.  Risk reversals still favor upside strikes, particularly in EUR.  The 1 month 25 delta risk reversal continues favoring EUR calls as they trade at a vol premium of 0.1%/0.30% over EUR puts.  USD puts are also favored versus the JPY with a volatility premium of 0.7%/1.0% for USD puts over USD calls with regards to USD/JPY.

OPTION STRATEGIES

Below please find some strategies, which depending on your view might be applicable.  Please bear in mind that all of these trades can be applied to any of the currency pairs, which may be traded.  All barrier levels, strikes, triggers, payouts, and maturity dates can be tailored to each individuals views.

For further details, please contact the options dealing desk at 1.212.897.7660 or toll free at 1.888.50.FOREX.