November 06, 2023 23:33 GMT
O/N Implied Volatility Highest Since April Ahead Of RBA
AUD/USD overnight implied volatility sits at 16.755% as option markets price in a $0.6427-$0.6556 range in the aftermath of today’s August US CPI print.
- Overnight implied volatility sits at its highest level since April, we do remain well off the 2023 highs seen in the wake of the SVB crisis in March.
- Overnight risk reversals are skewed to the downside, however we sit well above levels seen pre-SVB crisis and within the yearly range.
- Based on the latest DTCC data at NY cut today there are a number of close expiries, at a $0.6530 strike there are $619mn of AUD Calls and at $0.6480 strike there is a mixture of AUD Calls and Puts totalling $309mn.
- Technically the corrective cycle has extended. Resistance comes in at $0.6523, high from Nov 6 and key resistance, and $0.6562, 3.0% 10-DMA envelope. Support is at the 20-Day EMA ($0.6378).