In the advent of the French elections, a 1-month risk reversal (selling a call and buying a put on the euro) is the dearest on record in terms of points of implied volatility. Investors are laying in risk hedges against the prospect of a Le Pen victory which might portend the breakup of the eurozone.
The cost of bearish risk reversals on the euro is the highest in five years
Investors are laying in risk hedges against the prospect of a Le Pen victory which could spell the end of the eurozone
