Free Trial

Overnight Implied Volatility Elevated Ahead Of RBA


AUD/USD Overnight Implied Volatility is at its highest level since April ahead of today's RBA meeting printing at ~16%, however we remain well within the yearly range and below the highs seen in the wake of March's SVB crisis.

  • Overnight risk reversals are skewed to the downside, however we sit well above levels seen pre-SVB crisis and comfortably within the yearly range.
  • Option markets are pricing a $0.6553-$0.6681 range in the aftermath of the monetary policy decision.
  • From a technical perspective the 20-Day EMA has been breached and attention for bulls turns to the 50-Day EMA ($0.6654). On the downside bears target $0.6567 low from May 31.
  • The MNI preview of today's RBA meeting is here.

Fig 1: AUD/USD Overnight Implied Volatility

Source: MNI/Bloomberg

To read the full story



MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.