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Jun 12 - 04:55 AM

AUD/USD - Huge AUD/USD Option Spike Highlights Scale Of Risk Aversion

By Richard Pace  —  Jun 12 - 02:35 AM
  • AUD/USD options warned of downside risk this week nL1N2DO095

  • Renewed risk aversion Thur-Fri hits AUD/USD, option protection costs spike

  • 1-month 25 delta risk reversals now double where they started Monday

  • AUD put over call (downside) implied vol premium to 2.6 on Friday

  • 1-month implied volatility jumps 2.0 vols to 15.75 Friday - hi since April

  • Was already highest in G10 FX, and clearly justified nL1N2DO0ED



1-month AUD/USD implied volatility Click here

AUD/USD 1-month 25D risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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