France's Election Is 2011 Repeat for Currency Options: Chart

(Bloomberg) -- Fears of a surprise outcome in Sunday’s French presidential election have foreign exchange options reacting in a way not seen since the European sovereign debt crisis of 2011. Risk reversals, which track the spread between the implied volatility of out-of-the-money call and put options, currently show that the cost of downside protection in the euro hasn’t been this expensive relative to the cost of positioning for the upside since right before George Papandreou, Greece’s former prime minister, resigned in November 2011.

To contact the reporter on this story: Luke Kawa in New York at lkawa@bloomberg.net.

To contact the editors responsible for this story: Jeremy Herron at jherron8@bloomberg.net, Eric J. Weiner