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Jan 16 - 06:55 AM

AUD/USD - Option Dip Buyers Continue To Reap Rewards

By Richard Pace  —  Jan 16 - 05:00 AM
  • AUD/USD options continue to reward those who buy implied volatility setbacks

  • 1-month expiry is a favoured option to buy vol toward 9.0 since Q3 2023

  • 1-month implied vol extended long term low to 8.7 pre X-mas, peaked 10.4 Jan

  • 1-month was 9.25 before latest spot slide Monday and regains 10.0 Tuesday

  • Premium difference between 9.25-10.0 on A$30-mio straddle trade is A$52,000

  • Short dated option gains reflect spot slide, Fed speaker and data risk

For more click on FXBUZ

Source:
Refinitiv IFR Research/Market Commentary

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