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  1. New Zealand Dollar Expected to be Most Volatile

    by , 07-16-2019 at 09:57 AM
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    NZDUSD is expected to be the most volatile currency. Ahead of the NZ inflation report, overnight implied vols have jumped by 4.9 vols to 12.25, which is the highest since the June RBNZ rate decision. This implies that NZDUSD ATM break-evens = 34pips(meaning that option traders need to see a move of at least 34pips in either direction in order to realise gains). Interestingly, risk reversals have flipped to positive at 0.1 (albeit relatively neutral), ...