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Oct 20 - 04:55 AM

AUD/USD - Options Buy Protection As 0.7000 Barrier Threat Returns

By Richard Pace  —  Oct 20 - 02:35 AM
  • RBA confirmed easing intentions in minutes - pressures AUD nL1N2HB043

  • 0.7.32 low, focus back on 0.7000 option barriers - in place since July

  • No panic, but options market lifts volatility protection costs again

  • 1-week implied volatility up 0.75 to 9.25, 1-month 0.25 - paid 10.75 200mln

  • 1-month risk reversals hold 1.2 premium for AUD puts over calls (downside)

  • 0.7000 barrier break could fuel deeper decline, increase volatility

  • Related comment nL1N2H70AD


AUD/USD 1-week and 1-month implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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