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Overnight Implied Vol Elevated Ahead Of US CPI

NZD

NZD/USD overnight implied volatility sits at 18.07% as option markets price in a $0.5995-$0.6123 range in the aftermath of today’s July US CPI print, a 0.2% M/M increase is expected in the headline CPI figure.

  • Overnight implied volatility sits at it's highest level since 10 July, however we remain well within the year to date range and below levels seen in the aftermath of the SVB crisis in March (~25%).
  • Overnight risk reversals are skewed to the downside, however we sit well above levels seen pre-SVB crisis and within the yearly range.
  • DTCC data shows no close expiries for NZD/USD at the NY cut today.

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