AUD/USD Risk Reversals: Sustained break above 0.80 likely

The AUD/USD pair jumped to a high of 0.8028 yesterday as the drop in the US 10-year Treasury yield to a 10-month low of 2.054% triggered a broad based USD sell-off.

The currency pair ended yesterday at 0.7995 before making another failed attempt to extend gains above 0.80 handle in the Asian session today. 

One-month 25-delta risk reversals rise

The one-month 25-delta risk reversal improved to -0.775; the highest level since August 25. The improvement highlights falling demand for the downside bets i.e. put options. 
Meanwhile, the one-month ATM option volatility gauge jumped to 8.615; the highest level since August 11. 
The combination of decreased demand for Puts and an increase in volatility suggests it is only a matter of time before the spot sees a convincing break above the 0.80 handle.