AUD/USD vols are mixed, and are consolidating around their overnight levels, with a slightly firmer tone to the 1-mth, but the remainder of the curve under pressure. 1-mth vols are up 0.05%, trading at 7.15/7.45, 3-mth vols are down 0.15% at 7.15/7.45 and 6-mth vols are down 0.05% at 7.55/7.9. On the exotic front, a 0.7400 one touch expires today, and we hear that the AUD/NZD 1.1200 strike Asian central bank barrier is still in play. A raft of expiries at this AM"s NY cut - 0.7475, 0.7495, 0.7500 & 0.7525-30 plain vanilla strikes. On the transaction front we hear that 1-mth 25 delta risk reversals traded at 0.45% for AUD puts earlier today; 2-wk ATMs traded at 6.75%; 1-mth ATMs traded at 7.15% and 2-mth 0.7475 AUD puts traded at 7.3% in A$100mn.
USD/CAD vols: 1-wk has retained its overnight perkiness, and is still around 7.85/8.15 - up about 0.45% from last night"s NY close. The rest of the curve has a bid tone, with sixes up 0.1% at 7.45/7 and 1-yr up 0.25% at 7.65/7.85. A 1.1350 barrier was KO'd this AM, with others slated at 1.1400, 1.1425 & 1.1500.
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