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Overnight Volatility Elevated Ahead Of RBA


AUD/USD overnight implied volatility sits at 16.7450% as option markets price in a $0.6654-$0.6780 range today. Today’s docket is highlighted by the latest monetary policy decision from the RBA.

  • Overnight implied volatility is elevated and sits at its highest level since mid-March when the SVB crisis was escalating.
  • Overnight risk reversals are skewed to the downside, however we sit well above levels seen pre-SVB crisis and within the yearly range.
  • Resistance comes in at the 20-Day EMA ($0.6736), the high from 27 July ($0.6821) and the high from 20 July ($0.6847). Support is at $0.6619, low from Jul 7, and $0.6596 the low from June 29.
  • There are two notable expiries today; $0.6620 ($619.9mn) and $0.6781 ($305.3mn)

Fig 1: AUD/USD Overnight Implied Volatility

Source: MNI/Bloomberg

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