HALISTER1: RBNZ Hedges More Difficult Under Present Governor, Redward Says

RBNZ Hedges More Difficult Under Present Governor, Redward Says

(Bloomberg) -- Recent surge in kiwi overnight implied volatility in excess of underlying volatility environment indicates investors’ uncertainty towards RBNZ policy, Peter Redward, principal at Redward Associates, says in an interview.
  • This should be a concern for RBNZ, Redward says
  • Cites the Wheeler Surprise Index, an internal model, which examines one-day ATMF implied volatility that covers RBNZ policy announcements, relative to a 20-day trading window
  • Since Jan. 2015, the index has risen to around 16%, compared to an average of 9.5% under Governor Wheeler’s tenure which began in 2012
    • Index was 5.1% under previous central bank chief Bollard
  • NZD/USD 1-day implied volatility at 17.56 vol vs one-year average at 14.23 vol
  • NZD/USD down 0.1% to 0.6669
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

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Peter Redward (Redward Associates Ltd)

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