Free Trial

Overnight Vols Surge Pre-CPI, Suggesting Sizeable Market Response

FOREX
  • Overnight implied vols are surging so far Monday, with the vol premium added now well north of that seen pre-NFP last week. Overnight vols now capture both the near-term fallout of the SVB failure as well as tomorrow's key US CPI reading.
  • EURUSD vols are now well clear of 20 points, and at the highest level since the November CPI release on Dec 13th and imply a breakeven on an ATM straddle of around 95 pips for tomorrow expiry.
  • The move in AUD/USD overnight vols has been even more sizeable, with implied rising to 28 points this morning from Friday's 12 points - the highest level for this metric since November 2020.
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com

To read the full story

Close

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.