Derived Data That Drive Results
By Richard Pace — Dec 13 - 06:35 AM
1-month expiry AUD/USD implied volatility inside 9.0/10.0 since US election
1-month daily realised volatility at 7.85 makes implied appear expensive
However, 1-month high frequency (hourly) volatility stays well above 9.0
Shows that frequent delta hedging can capture more FX realised volatility
1-month risk reversal contract steady at 0.75 AUD puts over calls (downside)
That suggests that implied volatility is also supported by AUD/USD losses
For more click on FXBUZ
1-month expiry 25 delta risk reversal premium for AUD puts over calls Click here
1-month expiry AUD/USD implied vs realised volatility Click here
Source:
London Stock Exchange Group | Thomson Reuters
