LONDON Feb 22 The cost of hedging against big
falls in the euro over the next three months hit the highest in
more than two months on Wednesday, as investors sought
protection from currency volatility around France's presidential
The three-month euro/dollar "risk reversal", meanwhile, fell
to minus 3.1 percent, surpassing the lows it had hit
in the aftermath of Britain's EU referendum. That indicated that
investors are strongly favouring puts -- bets the euro will fall
-- over calls, which pay out if the euro rises.
Three-month euro/dollar implied volatility, an option used
to hedge against big price swings in the exchange rate, rose to
11.2 percent, its highest since Dec. 19 and close to its highest
since just after the Brexit vote.
(Reporting by Patrick Graham and Jemima Kelly)