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Euro May Rally on First Bullish Options Since 2009, Lloyds Says

Jan. 28 (Bloomberg) -- Traders are expecting the euro to extend its rally against the dollar, according to Lloyds Banking Group Plc, citing derivatives measuring the difference between implied volatility on calls and puts.

One-month 25-delta risk reversals, a gauge demand for calls relative to puts, reached to 0.1, the highest since 2009, according to data compiled by Bloomberg. The 17-nation common currency has strengthened 1.9 percent this month, poised for a sixth-straight gain, the longest stretch since 2003.

“Having spent a year looking at the euro downside, there’s reason to say that now, they’re looking toward the euro upside,” Adrian Schmidt, a foreign-exchange strategist at Lloyds in London, said by telephone. “It’s returned to a much more normal market and almost suggests that there isn’t any risk premium left in the euro.”

The 17-nation currency fell 0.1 percent to $1.3457 at 11:03 a.m. in New York, after reaching the strongest level in almost 11 months on Jan. 25.

Traders increased bets the euro will gain against the dollar, known as net longs, to 21,381 on Jan. 22, the most since July 2011, from 7,315 the week before, Washington-based Commodity Futures Trading Commission show

To contact the reporter on this story: John Detrixhe in New York at jdetrixhe1@bloomberg.net

To contact the editor responsible for this story: Dave Liedtka at dliedtka@bloomberg.net NI ASIA NI ASIAX NI BRIC NI BUSINESS NI CHINA NI COS NI ECO NI EM NI EMC NI EUROPE NI FIN NI FRX NI FXMARKET NI GER NI JAPAN NI MARKETS NI MSCIDVAS NI MSCIDVEUR NI MSCIEMAS NI MSCINAMER NI MSCIWORLD NI NASIA NI NORTHAM NI PMI NI TWN NI UK NI US

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