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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.
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- Hedging markets have identified JPY, AUD and ZAR as carrying the most sizeable risk premium vs. the USD headed into today’s US CPI release - blowing out break-evens and implied pricing for a post-data swing against the USD.
- The one-day overnight vol premium for is clear of 10 points for all three currencies – highlighting market positioning for a potentially outsized reaction relative to the G10 baseline.
- An overnight straddle struck for today's expiry in AUD/USD implies a ~40 pip swing in the pair – a move that would bring next resistance at the March 8 high of 0.6668 into play on a positive reaction – and the 50-day EMA of 0.6568 on any post-data weakness.
- Despite the uptick in vols, however, prevailing levels remain just below the equivalent pricing for the January 11th release – suggesting a potentially smaller react this month.
- We note that today's CPI release will see particular focus on OER inflation, with a surprisingly narrow range of estimates considering the surprise divergence in last month’s report.
Figure 1: JPY, AUD, ZAR vols show largest CPI-influenced risk premium
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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