• Bank of Canada expected to lift rates by another 0.5% at 15.00GMT Wednesday

• Because demand and Inflation still hot. Decision followed by policy guidance

• BoC now captured by overnight expiry options to flag high volatility premium

• Overnight expiry USD/CAD implied volatility 11.5 to 16.0 since BoC capture

• Premium/break-even for straddle from 66 to 91 C$ pips in either direction

• Volatility buyers can profit if actual volatility outperforms implied

• Broader 1-week options flash U.S. CPI warnings

  
  

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