TD Securities set out a long EUR/USD options trade using a three-month zero-cost risk reversal, structured by buying a 1.1610-strike call and funding it through selling a 1.11-strike put. The bank framed the position as a way to counter the recent EUR/USD decline near year-to-date lows, with spot referenced at 1.1322, and it linked the setup to a September month-end rebalancing window and the prospect of softer US payrolls.
Trade Structure and Parameters
The trade parameters include buying the 1.1610 call at 5.87 vol ref and selling the 1.11 put at 6.40 vol ref, with expiry dated Dec 30 2026.
Market Rationale and Macro View
TD also pointed to stretched USD uptrends and described near-term Fed rate hikes as largely priced in, while citing resilient growth in the rest of the world alongside its year-end EUR/USD stance and broader bearish USD view.
