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FX Implied Vols Remain Well Bid Ahead of CPI, ECB Risks

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  • Overnight FX vols remain well bid headed through the NY crossover, with the contracts seeing significant support ahead of the CPI release later today, with some short-end EUR vols also beginning to capture the fallout from the ECB rate decision and press conference due Thursday.
  • EUR/USD O/N vols are now clear of 20 points, rising to the highest level since July last year and that month's Fed rate decision.
  • Vols are also well bid across risk proxy-FX and notably AUD, which is seeing vols clear 27 points and hit the highest level since late 2020 and the throes of the COVID pandemic.
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com

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