June 12, 2020 / 9:04 AM / 22 days ago

Euro implied volatility levels inch to three-month high

FILE PHOTO: Euro currency bills are pictured at the Croatian National Bank in Zagreb, Croatia, May 21, 2019. Picture taken May 21, 2019. REUTERS/Antonio Bronic

LONDON (Reuters) - Implied volatility gauges for euro/dollar rose to their highest levels in more than two months on Friday as a bout of risk aversion in global markets fuelled demand for derivatives to guard against a broader drop in the single currency.

Currency markets have seen a renewed demand for the euro this week with the euro climbing towards a three-month high of $1.1373 this week with traders reporting a pick up in demand in currency options betting on more gains.

But Friday’s rise in risk aversion pushed euro EUR1MO=FN 1-month implied volatility gauges embedded in options contracts to 8.60%, its highest level since April 6. The cost for three-month and six-month option contracts also rose to their highest level since April 30 EUR3MO=FN EUR6MO=FN.

Reporting by Olga Cotaga; Editing by Saikat Chatterjee

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