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Overnight Volatility Within Recent Ranges Ahead Of RBA

AUD

AUD/USD overnight implied volatility sits at 15.19% as option markets price in a $0.6273-$0.6847 range in the aftermath of today's RBA decision.

  • Overnight implied volatility sits well below levels seen in the aftermath of the SVB crisis (~25%) and before last week's CPI print (~17%).
  • Overnight risk reversals are skewed to the downside, however we sit a touch off levels seen pre-SVB crisis and well within the yearly range.
  • There is one notable option strike for today's NY cut, based on DTCC data, at $0.68 (A$345mn).
  • At today's meeting the RBA is expected to hold the cash rate steady at 3.6%, the MNI preview is here.

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