March 13, 2023 11:25 GMT
Overnight Vols Surge Pre-CPI, Suggesting Sizeable Market Response
- 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.