• Geopolitical woes drive demand for FX Volatility and risk-off protection

• FX option implied volatility ramped higher in many currency pairs

• AUD/USD 1-month implied vol allegedly paid 9.4 and 10.4 Friday, from 8.9 Wed

• However, current 1-month levels well below early April spike highs at 16.75

• 1-month 25 delta risk reversals from long term low 0.3 to 1.0 AUD put v call

• Short dated options will benefit most from further volatility/spot losses

• 1-week expiry implied volatility 7.5 to 12.0 this week - includes US Fed Wed

• Related comment - FX traders can utilize options to hedge short USD bets
AUD/USD FXO implied volatility


AUD/USD 25 delta risk reversals

(Richard Pace is a Reuters market analyst. The views expressed are his own)