‘Broken’ euro FX options market facing liquidity concerns

Traders worry about market depth as surge in put buying sees risk reversals hit extremes

EUR-USD-volumes

Traders fear the most liquid foreign exchange options market is “broken”, with Russia’s invasion of Ukraine leading to a flurry of downside bets on euro/US dollar and creating huge dislocations only seen during times of severe crisis.

“I don’t think we’ve seen this level of sustained dislocation in euro vol markets since the European debt crisis. Maybe a day or two during March 2020, but for the majority there feels prolonged dislocation given there have been multiple days of multi-standard

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