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Overnight Volatility Slightly Elevated, Within Recent Ranges Ahead of CPI

NZD

NZD/USD overnight implied volatility sits at 13.25% as option markets price in a $0.6221-$0.6325 range in the aftermath of today’s Q2 CPI print.

  • Overnight implied volatility is slightly elevated ahead of this morning's CPI print 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.
  • Bears on target the 20-Day EMA ($0.6234) which opens the low from July 6 ($0.6133). The low from 29 June ($0.6051) provides the next level of support. Bulls first look to break the $0.63 handle, from here they can target yesterday's high $0.6344.
  • Q2 CPI is due in just over one hour, a downtick to 5.9% Y/Y from 6.7% in the headline CPI is expected.

Fig 1: NZD/USD Overnight Implied Volatility

Source: MNI/Bloomberg

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