• Implied volatility gauges actual volatility expectations to price options

• It can therefore offer clues on expectations over key events

• No gains in overnight vol on Thurs when expiry captured Fri Cnd retail sales

• Suggest markets expect little or no reaction in actual volatility from data

• However, 1-week expiry implied volatility jumped over 1.0 vol on Thursday

• That's when expiry captured Wednesday's BoC policy decision

• Not a huge leap but flags expectations of increased volatility from decision

• Interest rate probability shows 64% chance of a 0.25% BoC hike to 4.5%

• That data also shows 4.5% is currently expected to be the terminal rate

  
  

  
  

  
  

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