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Nov 22 - 05:55 AM

NZD/USD - FX Options Flag Extent Of RBNZ Risk To NZD/USD

By Richard Pace  —  Nov 22 - 03:45 AM
  • RBNZ expected to hike rates between 50-75bpt's Wednesday nL4N32I05K

  • Higher rate with signals of another to come would likely boost NZD

  • FX option implied volatility only marginally higher - already elevated

  • Overnight expiry (Wed 10-am NY cut) implied volatility 25.0 vs 22.0 prior

  • Premium/break-even for straddle $64 pips from $57-pips in either direction

  • Contract peaked 32.0 ($82-pips either direction) over U.S. CPI data



For more click on FXBUZ


Source:
Refinitiv IFR Research/Market Commentary

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