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Overnight Volatility Elevated Ahead Of US CPI, Large Close Option Expiries

AUD

AUD/USD overnight implied volatility sits at 15.16% as option markets price in a $0.6356-$0.6474 range in the aftermath of today’s September US CPI print.

  • Overnight implied volatility is elevated ahead of this evening’s US CPI print and sits a touch off the top of recent ranges.
  • Overnight risk reversals are skewed to the downside, however we sit well above levels seen at pre-SVB crisis and within the yearly range.
  • Based on the latest DTCC data at NY cut today there are a number of close expiries. At $0.6425 strike there are $734mn of AUD Calls and at $0.6440 there is a mixture of calls and puts totalling $494mn.

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