AUD/USD put value jumps to 15.5-month high

  • AUD/USD put value has hit 15.5-month highs today, indicating the investors are expecting a deeper drop in the AUD/USD.
  • The data adds credence to the pennant breakdown seen in the daily chart.

The AUD/USD one-month 25 delta risk reversals fell to -1.3 today - the lowest level since May 5, 2017 -  vs the recent high of -0.8 registered on Aug. 8.

The decline from -0.8 to -1.3 represents a rising demand or rising implied volatility premium for the AUD put options (bearish bets).

It seems safe to say that investors are expecting a deeper drop in the Aussie, as indicated by the pennant breakdown in the daily chart, and hence are preparing (hedging) for the same via long put positions.


Daily chart

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