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Overnight Volatility Elevated Ahead Of RBNZ


NZD/USD overnight implied volatility sits at 19.90% as option markets price in a $0.6125-$0.6267 range in the aftermath of today's RBNZ meeting.

  • Overnight implied volatility is at its highest level since the SVB crisis (~25%) in mid-March.
  • Overnight risk reversals are skewed to the downside, however we sit well above levels seen pre-SVB crisis and within the yearly range.
  • Bulls immediate focus is on the 200-Day EMA ($0.6222); a break through here opens the high from 23 May ($0.6303). Bears look to break the low from 6 July ($0.6133), which opens the low from 29 June ($0.6051) and year to date lows ($0.5991).
  • The MNI preview of the RBNZ is here.

Fig 1: NZD/USD Overnight Implied Volatility

Source: MNI/Bloomberg

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