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Why MNI
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.
NZD
NZD/USD overnight implied volatility sits at 18.285% as option markets price in a $0.6239-$0.6372 range in the aftermath of today's RBNZ decision.
- Overnight implied volatility sits well below levels seen in the aftermath of the SVB crisis (~25%), but is elevated relative to recent levels.
- Overnight risk reversals are skewed to the downside, however we sit well above levels seen pre-SVB crisis and well within the yearly range.
- There is one notable option strike for today's NY cut, based on DTCC data, at $0.6215 (NZ$310mn).
- At today's meeting the RBNZ is expected to raise the OCR 25bps to 5.00%, the MNI preview is here.
Fig 1: NZD/USD Overnight Implied Volatility
Source: MNI/Bloomberg
Why MNI
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.
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