Derived Data That Drive Results
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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AUD/USD 1-month expiry implied vs 1-month daily historic/realised volatility Click here
Source:
Refinitiv IFR Research/Market Commentary
