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Aug 02 - 03:55 AM

AUD/USD - FX Options Not Pricing A Big Post RBA Reaction

By Richard Pace  —  Aug 02 - 02:30 AM
  • Overnight FX options expire Tues 10-am New York- get RBA policy announcement

  • Implied volatility gauges actual volatility expectations before expiry

  • Holders want actual volatility to outperform implied in order to profit

  • However, overnight AUD/USD implied volatility only marginally higher at 13.5

  • Recent average has been around 13.0 for context, although was 17.0 pre FOMC

  • AUD/USD already heavy amid dovish RBA expectations, so can limit FX reaction

  • Related comment nL4N2P905V


For more click on FXBUZ


Overnight expiry AUD/USD option implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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