Australia’s dollar may fall to the lowest level as implied volatility surges, according to technical analysts at Citigroup Inc.

Implied volatility on 3-month Australian dollar-yen options is “on the cusp of a surge” as it faces resistance at a 76.4 % so-called Fibonacci retracement from its October peak of 53.31 %, wrote Citigroup analysts. Fibonacci analysis is based on the theory that prices rise or fall by certain percentages after reaching a high or low. A failure to break through one level indicates a security may move to test the next.

Implied volatility rose to 23.5 % today from 21.2 % on Aug. 12, the retracement resistance level.

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