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Currency Volumes Buoyed, Implied Vols Bid Pre-CPI

FOREX
  • Currency volumes generally inching ahead of average for this time of day, with markets pre-positioning ahead of the US CPI print later today: JPY futures 21% above, GBP 8% above although EUR futures are marginally below average for this point in the session.
  • The standout is the AUD futures market, which was uncharacteristically active overnight and through the European morning (cumulative volumes on the CME ~60% higher) as local media continues to speculate over RBA governorship, responds to the RBNZ rate decision and reacts to the China credit release out during Tuesday European hours.
  • Overnight implied vols across G10 are bit ahead of the CPI release: EUR/USD has added 8 points to trade at the highest since mid-June, while USD/JPY o/n vols have cleared 17 points ahead of the inflation release.

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