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OPTIONS: Vols Show Market Sees Sept CPI as Among Least Consequential of 2024

OPTIONS
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  • Funding currencies have posted the most notable pre-CPI vol risk premiums today - with JPY and CHF overnight implied adding 6.5 and 5.2 points apiece in the two sessions prior to today's release.
  • Their status as funding currencies may increase their sensitivity to volatility in the short-end of the US rates curve, however the high bar for a market-moving surprise at today's CPI print may be limiting gains here.
  • This is reflected in the lower prevailing levels for G10 implied vols covering the print this week (CHF overnight vol topped out at 11.7 points this week, vs. 3m pre-CPI average of 14.1, JPY topped out at 17.3 vs. 3m pre-CPI average of 22.4), which should limit the spot reaction barring a significant surprise today. 
  • Separately, CAD vols have seen some interest as the pair captures not only today's inflation print, but also the CAD employment report Friday - at which the unemployment rate is expected to rise to 6.7% from 6.6% prior.

 

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  • Funding currencies have posted the most notable pre-CPI vol risk premiums today - with JPY and CHF overnight implied adding 6.5 and 5.2 points apiece in the two sessions prior to today's release.
  • Their status as funding currencies may increase their sensitivity to volatility in the short-end of the US rates curve, however the high bar for a market-moving surprise at today's CPI print may be limiting gains here.
  • This is reflected in the lower prevailing levels for G10 implied vols covering the print this week (CHF overnight vol topped out at 11.7 points this week, vs. 3m pre-CPI average of 14.1, JPY topped out at 17.3 vs. 3m pre-CPI average of 22.4), which should limit the spot reaction barring a significant surprise today. 
  • Separately, CAD vols have seen some interest as the pair captures not only today's inflation print, but also the CAD employment report Friday - at which the unemployment rate is expected to rise to 6.7% from 6.6% prior.