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Markets See ZAR, NZD and SEK as Most Sensitive Over CPI

FOREX
  • Front-end vols are well bid across all USD pairs in anticipation of the US CPI release later today, and the potential impacts for Fed policy going forward. Using implied vol gains as a gauge, markets see NZD, SEK and AUD amoang the most market sensitive over the release in DM, while ZAR is among the most exposed in emerging markets space.
  • The two-day gain in overnight vol for NZD/USD amounts to near 19 points, meaning an ATM straddle are priced for a 72 pip swing in the pair - around three times the size of the overnight swing priced in at the tail-end of last week.


  • Markets continue to hold a small net long NZD position, as per the most recent CFTC data, although the position has moderated in recent weeks to represent 6.6% of open interest. This contrasts with AUD, with the current short position amounting to just over 25% of OI.

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