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1-Week Implied Volatility Stable As RBA Comes Into View

AUD

AUD/USD 1-Week Implied Volatility sits at 11.11% as next Tuesday's RBA meeting comes into view.

  • 1-Week Implied Volatility remains well below levels seen at the height of the SVB crisis, and well within recent ranges.
  • 1-Week risk reversals are skewed to the downside, however we sit well above levels seen pre-SVB crisis and within the yearly range.
  • Based on the latest DTCC data, on the 5th September there is an AUD/USD $640mn Put at $0.6514, there is also a $100mn Call at $0.64 and a $357mn mix of calls and puts at $0.66.
  • RBA dated OIS currently price no change in the cash rate at next week’s meeting.

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