• Bank of Canada likely cuts 25bps to 4.25% Wed - high bar for dovish surprise

• Overnight expiry FX options now include the rate decision

• Overnight USD/CAD implied volatility has increased from 8.5 to 10.0

• Not a significant increase, but still a high since the 12 June Fed meeting

• Premium/break-even has increased from 48 to 56 CAD pips since BoC included

• However, Friday's NFP poses greater threat to broader FX volatility

• At 6.5 since including NFP, 1-week USD/CAD implied volatility high since Jan

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