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Overnight Volatility Slightly Elevated, Within Recent Ranges Ahead of Q2 GDP

AUD

AUD/USD overnight implied volatility sits at 12.59% as option markets price in a $0.6330-$0.6432 range in the aftermath of today’s Q2 GDP print.

  • Overnight implied volatility is slightly elevated ahead of the Q2 GDP release 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 2023 range.
  • Based on the latest DTCC data, there is a $488mn Put at $0.6395 strike and a $100mn Put at $0.64 strike at the NY cut today. There is also a mixture of Calls and Puts at $0.6445 totalling $540mn notional.
  • Technically the trend condition remains bearish; support comes in at yesterday's low ($0.6358) and 2.00 projection of the Jun 16-Jun 29-Jul 13 price swing ($0.6287). Resistance is at $0.6465, yesterday's high.
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