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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 18.89% as option markets price in a $0.6590-$0.6736 range in the aftermath of today's US CPI print.
- Overnight implied volatility sits well below levels seen in the aftermath of the SVB crisis (~25%), however we are above levels seen before last week's RBA meeting (~16%).
- 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 are several notable option strikes for today's NY cut, based on DTCC data, at $0.67 (A$545.2mn) and $0.6750 (A$1.2bn).
Fig1: AUD/USD Overnight Implied Option 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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