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Jan 22 - 11:55 AM

AUD/USD - FX Options Wrap-EUR 1.30, 8:1 Range Return, AUD/USD Risk, Value

By Richard Pace  —  Jan 22 - 09:49 AM

Risk appetite was waning slightly Friday, but implied volatility remained depressed near crisis lows as FX stuck to well-worn ranges.

However, current low levels offer much better risk versus reward if actual volatility should pick up, especially where implieds are trading below historics - offering good value with minimal risk nL1N2JX0RT.

Bold calls for EUR/USD 1.30 have been reaffirmed by one U.S bank by year's end, a view still held by many option investors nL1N2JX0N7.
Near-term, however, low implied volatility reflects the range-bound spot market, although one-month risk reversals regained a EUR call (topside) premium Thursday, from EUR puts last week nL1N2JW0T1.

USD/JPY implieds are the lowest of the G10 majors, yet still above historics (one-month 5.4 vs 4.5).
Too low to sell, yet unlikely to reward longs with ranges so tight.
However, bet spot keeps the same 103.00-104.50 range for another two weeks and earn 8:1 with a DNT nL1N2JX0TM.

AUD/USD one-month vol paid 9.65-9.75, reflecting spot setback risk, but no panic.
Beware 1.4 billion 0.7650 expiry Monday nL1N2JX0IK.

For more click on FXBUZ









EUR/USD 1-month volatility measures Click here

EURUSD risk reversals Click here

USD/JPY benchmark 1-month implied volatility Click here

AUDUSD 1-month implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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