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May 26 - 07:55 AM

AUD/USD - Options Flag Massive Expiries And Falling Risk Premium

By Richard Pace  —  May 26 - 05:58 AM
  • Massive AUD/USD option strike expiries Thursday help contain nL2N2ND0A0

  • Related delta hedging will add to AUD sales/resistance above 0.7785

  • 0.7796 Wed's high, 19-18 May highs 0.7797-0.7813 are n-term resistance

  • FX option benchmark 1-month implied volatility nears Aprils 8.4 pandemic low

  • Low implied recognises low actual/expected volatility- range trading outlook

  • Premium for 1-month AUD puts over calls (downside) tests 2021 low at 0.6

  • Reflects falling downside risk perception to AUD/USD

  • Related nL2N2ND0BR

For more click on FXBUZ


AUD/USD 1-month option implied volatility Click here

1-month AUD/USD 25d Risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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