FXStreet (Delhi) – Research Team at Societe Generale, notes that the EUR/USD has been quite rangy since ECB’s December meeting, with spot oscillating between 1.0710 and 1.1050, and so has its implied volatility. Key Quotes “EURUSD is pressured from below by its safe haven status and from above by the monetary policy divergence between the two central banks. This range-boundedness and the market’s indecisiveness are also reflected in the options market, with the 3-month 25 delta risk reversal trading close to flat (until now it has typically evolved between -1.5 and -0.8 in times of quiet). From a volatility perspective, 1m vol has collapsed while 2m and 3m vols remain comparatively high: indeed 3m implied vol trades above its realized one month (probably because it includes the next ECB meeting, 10th march). We also note that butterflies EUR/USD trade on the lows (the structure is long Volga). Moreover if you look at the 1 month realized vol (8.22 in CtC) versus the implied 3 months (10.20), even though the implied is contained, we still have room for further softening. To capitalize on the absence of momentum we like buying 3-month Double No Touch options. Implementation • Buy a 3-month EUR/USD Double No Touch 1.0470 / 1.1200 • Indicative offer 16% Risks • Loss of premium if one of the barriers is reached over the 3-mont horizon.” For more information, read our latest forex news.