⚠️💶Euro Front-End Real Vol Below Implied Into ECB: Cable FX Macro

• Heading into the ECB, 1w implied volatility in EUR/USD remains relatively calm at 7.08%, O/N vol stands above average but off session highs of 12.10%

• Realized volatility in EUR/USD has rise to erase the implied vol premium, the differential is now below 0 but within ranges seen over the last couple of months

• 1m risk reversals continue to favour puts over calls at 42.5bps, however, demand for EUR/USD downside saw the tenor at 62.5bps on Friday