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Oct 12 - 08:55 AM

AUD/USD - FX Options Endorse AUD/USD Gains, But Wary Of Setbacks

By Richard Pace  —  Oct 12 - 07:06 AM
  • AUD/USD pushing higher, but still a cent below 3 Sep peak of 0.7477

  • Iron ore up to boost trade surplus, lockdown's end - AUD positives

  • FX options say actual volatility risk low, but wary of risk averse knock

  • Price action consistent with any further AUD gains remaining a grind for now

  • 1-month implied volatility heavy, but still mid of 7.8-9.8 range since Aug

  • 1-month risk reversals 0.95 AUD puts over calls - downside risk premium

  • That was 1.35 in mid Sept, but prior lows since June were 0.75 AUD puts

  • Overall activity low while AUD/USD lacks actual, and potential volatility

For more click on FXBUZ

1-month AUD/USD risk reversals Click here

1-month option implied versus 1-month historic (actual) volatility Click here

Refinitiv IFR Research/Market Commentary


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