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Nov 15 - 07:55 AM

AUD/USD - Options Stay At The Top Of The Value Tree

By Richard Pace  —  Nov 15 - 05:40 AM
  • FX implied volatility gauges realised FX volatility expectations

  • Historic volatility is past realised volatility - a fair value measure

  • AUD/USD implied has been trading below historic volatility of late - value

  • It means a repeat of past AUD/USD spot performance can reward option holders

  • Spot outperformed after Tues big post U.S. CPI rally of 150 pips

  • 150 pips covers premium/break-even of options up to 1-month expiry straddle

  • Related comment nL1N3C9126

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Refinitiv IFR Research/Market Commentary


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