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AUD: Keeping an eye on options, there has been some increased implied volatility ahead of the key data releases tomorrow.
- 1-week implied volatility is 0.2575 higher at 10.0475 – and up from 7.9575 as recently as Dec 24. 1-month is up to 9.785. Tail risks in the pair have crept higher too, with 1-month 10-delta butterflies at 0.81.
- Puts remain favoured over calls, 25-delta risk reversals fall to -0.6475, though are off lows of -1.04 seen on Jan 11.