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Catch AUD timing while Buying downside volatility: Societe Generale

As imminent weakness is not the central scenario, cheapening AUD puts in selling low strikes to obtain a long theta structure could make sense. However, volatility is very likely to rise when the currency falls, and this trade would be selling volatility. 

"To discount our puts, we prefer an exotic option to capture the expected rise and subsequent fall of the currency while keeping a long volatility exposure on the downside", said Societe Generale in a report on Thursday.

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