AUD/USD risk reversals retreat from 5-month high

The one-month 25 delta risk reversals gauge dropped yesterday to -0.525 from a 5-month high of -0.438. The decline highlights the increased demand for GBP puts (bearish bets).

Meanwhile, the one-month at the money option volatility is showing signs of life. It fell to 5.90 on Friday; the lowest level since 2014 and recovered slightly to 6.00 this week.

A combination of falling risk reversals (increased demand for AUD puts) and rising volatility would mean the decline in AUD/USD pair is set to resume.