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Overnight Implied Volatility Elevated Ahead Of RBA

AUD

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

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