EUR/USD: Put value hits 13-day high ahead of Fed and ECB event

• EUR/USD risk reversals show increasing demand for EUR puts.
• Investors seeking protection against a bearish move in EUR/USD ahead of central bank events.

The EUR/USD one-month 25 delta risk reversals (EUR1MRR) fell to -0.65 today - the lowest level since April 1 vs. -0.23 a week ago.

The decline from -0.23 to -0.65 represents rising implied volatility premium for the EUR puts (sell EUR).

Simply put, the demand for EUR puts is increasing, possibly due to fears the Fed might push up terminal rate/neutral rate forecasts and the European Central Bank (ECB) may taper the "QE taper" talk (bearish for EUR), thus leading to another round of sell-off in the EUR/USD.

EUR1MRR