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Implied Volatility Near Two-Year Low

CNH

Offshore yuan is slightly weaker, USD/CNH rising from yesterday's closing levels. The pair continues to move in a tight band which has seen implied volatility drop, 1-month implied volatility has fallen to 3.55% and hovers near the lowest levels since August 2019, while 25-delta risk reversals have fallen for a second day to 0.4050% The rate last changing hands at 6.4530, up 18 pips on the session. There are no release on the economic docket today, markets look ahead to loan data, retail sales, industrial production and asset investment figures which are all scheduled to be released next week.

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