With the overall market mood a bit complacent these last few months, it’s no wonder that volatilities have dropped back.  The VIX is only about half of its 52-week high – trading at just shy of 21, compared to the yearly high of 48.  This has presented those in the options arena an opportunity to buy cheap coverage, with some market analysts expecting a bump up in intraday volatility.

Euro traders are still overly bearish on the single currency as average implied vols over the last month have declined to 11.5% compared to 18.3% just about a year ago today.  This has sparked some buying in out of the money puts, with IVs jumping to as 14% on the skew.  As a result, those wanting to buy coverage at these levels could pay a premium across the board.

British pound coverage is a bit cheaper – with out of the money puts costing about 28% less, with September put strikes likely being the cheapest.

Notably, recent Australian gains – producing a short term technical top – have spurred on massive buys in out of the money put coverage.  Those long the Australian dollar are looking for downside protection while maintaining long positions in the market.