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Mar 01 - 04:55 AM

AUD/USD - Options Flag Extent Of Volatility Risk From RBA

By Richard Pace  —  Mar 01 - 02:36 AM
  • Implied volatility is option market measure of expected/actual volatility

  • It was ramped significantly higher in all pairs last week nL1N2KW1PD

  • Mild setbacks Monday, but short term risk for AUD is RBA Tues nL3N2KZ01K

  • Overnight (Tues) expiry implied volatility still very high at 19.5

  • Break-even for vanilla straddle is $63-pips in either direction

  • It peaked 26.0 last week - up from 14.0 average over recent weeks




    For more click on FXBUZ

AUD/USD overnight expiry implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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