Banks scale back options market-making
Thirty-day implied volatility on EUR/USD, the most frequently traded currency pair, has skyrocketed to historic highs in recent months, hitting 9.70 on September 10. This is compared with 6.77 at the same time last year.
The turbulence has caused some banks to avoid making markets in options, particularly exotic options, focusing instead on servicing specific customer requests.
"Although currency options trading has done quite well in the past year, recently the environment at the banks has been
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