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O/N Volatility Elevated Ahead Of Fed, But Below Levels Seen After SVB Fall

AUD

AUD/USD overnight implied volatility sits at 25.24% as option markets price in ~1.6% move for the pair in the aftermath of the FOMC rate decision.

  • The implied vol whilst elevated sits below levels of volatility seen at the height of the SVB crisis which was the highest level observed in 2023.
  • Overnight risk reversals are skewed to the downside, however we remain well within the yearly range and above levels seen post-SVB collapse.
  • At NY cut today A$411mn expiry at $0.6750, the level is a just above resistance of $0.6748 the high from Mar 7. Downside support comes in at $0.6590, 61.8% retracement of the Oct-Feb bull cycle.
Fig 1: AUD/USD Overnight Implied Option Volatility

Source: MNI/Bloomberg

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