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Feb 06 - 02:55 AM

AUD/USD - Options Not So Cheap, Mega Strike Expiries Cap

By Richard Pace  —  Feb 06 - 02:20 AM
  • RBA induced AUD/USD volatility was tame as options had predicted

  • AUD/USD 0.6478-0.6521 Tues, Support 0.6469 - Mondays low since Nov 17

  • 1-month option implied volatility by l-term low 9.0, but not so cheap

  • 1-month realised volatility and fair value measure just 6.7 (2-year low)

  • Highlights lack of volatility within familiar ranges, despite spot slide

  • Market prices small premium for downside strikes but demand proves limited

  • A$3.7-billion strikes between 0.6570-0.6610 expire 15.00GMT Tuesday

For more click on FXBUZ

Source:
Refinitiv IFR Research/Market Commentary

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