Broader Caution Remains, NZD Draws Further Support From OCR Hike Bets

The yen garnered some more strength, building on its Tuesday gains, as a degree of risk aversion lingered on. USD/JPY slipped into the Tokyo fix but trimmed losses after a failure to stage a convincing break under Jun 30 low of Y110.42. Looking ahead, there is $1.1bn worth of USD/JPY options with strikes at Y111.00 rolling off today, with a further $1.1bn of USD calls with strikes at Y111.50 also due to expire at the NY cut.

• High-betas underperformed in risk-off trade, as crude oil remained heavy. AUD/JPY extended losses to a two-week low. In Australia, NSW Premier Berejiklian confirmed that Sydney's lockdown will be extended by at least one week.
• NZD bucked the trend and blipped higher in early Asia-Pac hours, as Westpac brought forward their forecast of the first OCR hike to November this year from August 2022.
• ANZ quickly followed suit, which means the whole Big Four now expects the RBNZ to raise the OCR this autumn. The implied odds of a hike by the November meeting ticked higher (per BBG WIRP tool) after yesterday's sizeable post-QSBO jump.
• FOMC Jun MonPol meeting minutes, German & Norwegian industrial output data, Italian retail sales as well as comments from Fed's Bostic & Riksbank's Ohlsson are on the radar today.