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Sep 23 - 06:55 AM

AUD/USD - COMMENT-AUD/USD Options Flag Danger Of 0.7000 Breach

By Richard Pace  —  Sep 23 - 04:45 AM

Renewed demand for AUD/USD options is picking up, with fears said to be growing about a drop through alleged 0.7000 barrier options, which could trigger negative gamma and fuel the decline.

0.7000 is also important on a technical level - the base of the daily Ichimoku cloud is just above, the 100-day moving average is just below - a break of which opens a return toward the 200-day moving average at 0.6772.

The 23.6% Fibo retracement of the 0.5510-0.7413 March-September rally is 0.6963, a break of which opens 38.2% at 0.6686.

AUD/USD FX option implied volatility measures future volatility and determines option premium.
It threatened crisis lows last week but has since gained, the benchmark one-month testing 11.0 from 9.8 Friday.

One-month-expiry risk reversals show implied volatility premium for AUD puts over calls is up 0.5 to 1.3 this week, its highest downside bias since July.

Also of note is the pick-up in demand for outright AUD/USD put options this week - with strikes below 0.7000 - already rewarding holders as prices increase nL2N2GJ05L.

For more click on FXBUZ











1-month AUD/USD implied volatility Click here

1-month AUDUSD risk reversal Click here

Source:
Refinitiv IFR Research/Market Commentary

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