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Feb 01 - 04:55 AM

AUD/USD - Options Ready For RBA And A Busy Week Of Volatility Risk

By Richard Pace  —  Feb 01 - 02:46 AM
  • RBA policy announcement Tuesday, RBA gov Lowe speaks on year ahead Wednesday

  • Lowe appears before house of reps on Thurs, then RBA mon pol statement Fri

  • U.S NFP Friday, too. Option market implied volatility remains supported

  • Overnight expiry paid 18.5 in Asia - straddle break-even $55-pips

  • One-week vol capture all events - 11.5 implied vol - Straddle $97-pips

  • With cash hedge - holder will be looking for actual volatility to outperform

  • Volatility risk premium increased last week, setbacks minimal nL1N2K40ZD



AUD/USD 1-week and 1-month implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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