ANZ: Something's Gotta Give

ANZ note that "there has been no shortage of news: the iron ore price rallied and then sold off; milk prices are on track for a record high; RBNZ reintroduced the OCR track, signalling an expectation that it will hike rates sharply in the future; and the RBA is edging towards a key policy shakeup in July. Yet, none of that translated into price action."

• "On a 100-day basis, all major drivers of the cross have failed to spark a move. It is the first time in many years that none of the factors exhibited an average 'goodness of fit' that is significant, across this timeframe."
• "This is not because AUD/NZD is moving contrary to fundamentals. It is simply that it has stopped moving. Historic volatility (on almost all tenors) is closing in on a multi-decade low. But that can't last forever."
• "In the short term, the extremes in the deviation from fundamentals and in realised volatility suggest something has gotta give. RBA communications in June and July will be key catalysts."