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Feb 26 - 06:55 AM

AUD/USD - High Beta AUD/USD Options Warn Of More Downside Risk

By Richard Pace  —  Feb 26 - 05:30 AM
  • FX options warned of FX volatility and risk aversion this week nL1N2KV1RU

  • Still caught off guard by extent of moves overnight, especially AUD/USD

  • Its high beta to risk saw biggest G10 volatility and downside premium gains

  • 1-month implied volatility 10.25-12.05, 3.0 above Feb low, setbacks limited

  • 1-month risk reversal biggest one day drop since March, to highs since June

  • Premium for AUD puts over calls (spot downside) 1.0 to 2.0

  • Market clearly wary of more volatility/spot losses

  • Related comment nL1N2KW0TN





    For more click on FXBUZ

AUD/USD benchmark 1-month implied volatility Click here

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

Source:
Refinitiv IFR Research/Market Commentary

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