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Sep 22 - 05:55 AM

NZD/USD - Options Match Fed Event Risk Premium For RBNZ

By Richard Pace  —  Sep 22 - 04:05 AM
  • Overnight (1-day) expiry NZD/USD options now get Wed's RBNZ rate decision

  • Implied volatility higher to reflect increased actual volatility risk

  • It's 33% higher at 18.0, from 12.0 early Monday - before RBNZ capture

  • Premium/break-even for straddle 33% higher too at 0.75% NZD, or 50 USD pips

  • Shows spot moves in either direction, holders must capture before profit

  • Current levels of o/n implied volatility last seen before September FOMC

  • Recall yesterday's actual spot range was 122 USD pips

  • Related nL2N2GJ05L


Overnight expiry NZD/USD implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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