• AUD/USD FX option implied volatility has taken another leg lower since last weeks US NFP data

• Benchmark 1-month expiry falls from 7.8 prior to 7.0 since, while other dates follow suit

• Paring of event risk premium, weaker USD and spot away from the mid 0.6800 danger zone are all weighing

• The 1-month expiry now trades below past 1-month realised volatility and its fair value measure at 7.75

• Obviously realised vol will fall if AUD/USD realised volatility stays low, but offers potential value if it doesn't

• It's also worth noting that the long term low for 1-month implied vol is 6.5 from December 2025 and 2020

• Vols may struggle to break prior lows. Low implied vol reduces the cost of hedging via vanilla FX options
1M AUD VOL


(Richard Pace is a Reuters market analyst. The views expressed are his own)