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Overnight Vols Bid Ahead of US CPI

OPTIONS
  • FX options activity makes for a quieter start to the week, with quieter EUR/USD, USD/JPY trade countering more active USD/CNY, AUD/USD and USD/TWD trade. This is mirrored in the modest downtick for front-end G10 vols early Tuesday.
  • AUD/USD notional has been supported by trades consistent with a $0.70/0.74 six-month call spread. The structure breaks even on a move above ~0.7075 in the spot rate.
  • Looking ahead, USD implied vol has been marked higher ahead of tomorrow's CPI. EUR/USD overnight vols have cleared 12 vol points - roughly equivalent to the levels seen ahead of the last inflation release on April 12th.

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