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Jan 26 - 03:55 AM

AUD/USD - Options Flag Fears Of Deeper Spot Decline

By Richard Pace  —  Jan 26 - 02:21 AM
  • No panic yet, but AUD/USD options trade with a fear of deeper spot decline

  • Implied volatility found a base Monday - higher Tues - 1-month paid 9.75-9.9

  • 1-month risk reversals paid 0.95 AUD puts over calls (downside premium)

  • Implied volatility will gain more if spot extends decline - reward holders

  • 0.7600 strike protection noted in 1-week expiry - trades above 11.0 vol

  • Such options can hedge risk of any deeper spot decline nL1N2K00QX




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

AUD/USD 1-month implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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