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Overnight Volatility Elevated, Within Recent Ranges Ahead Of FOMC

NZD

NZDUSD overnight implied volatility sits at 13.065% as option markets price in a $0.5904-$0.5994 range in the aftermath of today’s FOMC rate decision.

  • Overnight implied volatility is slightly elevated but remains well within recent ranges.
  • Overnight risk reversals are skewed to the downside, however we sit well above levels seen pre-SVB crisis and within the yearly range.
  • Based on the latest DTCC data there are several close option expiries at today's NY cut. There is a mixture of calls and puts at a strike of $0.5920, and $200mn of puts at $0.5915.
  • Bulls immediate focus is on a break of yesterday's high ($0.5948), which opens the high from 10 Aug ($0.6118) and the 200-Day EMA ($0.6140). Bears look to break $0.5859 (6 Sep low) which opens $0.5757 (low from 4 Nov 22) and $0.5728 a Fibonacci projection.
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