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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
AUD
AUD/USD overnight implied volatility sits at 14.38% as option markets price in a $0.6575-$0.6692 range in the aftermath of today's CPI print.
- Overnight implied volatility sits well below levels seen in the aftermath of the SVB crisis (~25%) last month. We also sit below levels seen around April's RBA meeting (~17%) and 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.
- There is one notable option strike for today's NY cut, based on DTCC data, at $0.67 (A$839.30mn).
- Today's CPI print for Q1 and March is expected to show that inflation peaked in Q4 last year. Headline is forecast to rise 6.9% Y/Y (Q1) and 6.5% Y/Y (March), the MNI preview is here.
Fig 1: AUD/USD Overnight Implied Volatility
Source: MNI/Bloomberg
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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