Traders Buy Aussie Puts

  • 15 Jan 2001
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Traders bought one- and two-month 25-delta out-of-the-money Aussie dollar puts against the U.S. dollar last week, betting that the currency would weaken. One-month implied volatility stood at 14.3%/14.6% at the close of trading on Thursday. Risk reversals favored puts over calls by 0.4%. The Aussie dollar was expected to weaken against the U.S. dollar because of weaker-than-expected Australia Bureau of Statistics unemployment data published on Thursday. Although employment figures improved, full-time employment had actually fallen, representing an actual weakening in the labor market, said a trader.

Traders also expect one-month implied volatility to rise if the Aussie dollar falls further, making buying puts more attractive still, the trader said. On Thursday the spot stood at AUD0.5552 compared with AUD0.5565 the previous Thursday, he said. Most trades were interbank and speculative, he said. Typical notional sizes were AUD50 million.

  • 15 Jan 2001

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5 Barclays 267,252.43 1082 5.77%

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5 Bank of America Merrill Lynch 33,835.53 112 4.88%

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