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Overnight Volatility Within Recent Ranges Ahead Of FOMC

AUD

AUD/USD overnight implied volatility sits at 9.495% as option markets price in a $0.6415-$0.6502 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 are $440mn of calls at $0.6450 and $508mn of calls at $0.6525.
  • Technically the trend in AUD/USD remains bearish. Support comes in at $0.6357, low from Sep 6 and bear trigger. Resistance is at $0.6481, high from Sep 4.

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