AUD/USD: ATM Vols at highest since April 19, risk reversal point to further gains

AUD/USD 1-month at-the-money (ATM) options volatility rose to 8.525 yesterday; the highest level since April 19. The 1-month 25-delta risk reversal continues to move higher, suggesting falling demand for downside insurance.

The rise in the volatility coupled with an uptick in the 25 delta risk reversals adds credence to the bullish break in the AUD/USD seen this week and indicates the pair could scale 0.80 handle in the short-run.

The spot finally breached 0.7835 (Apr 2016 high) in a convincing manner. It clocked a high of 0.7943 yesterday and was last seen trading on the front foot around 0.7930 levels.

Data source: Reuters

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