The narrow-dated forward vols in antipodean currencies are priced highly asymmetrically with respect to a rolling history of 1M ATM vol.

For instance, the above chart  explains that indicative offers on 1M1M FVAs in NZDUSD are near historical lows in 1M ATMs over the past 2-years, implying asymmetric upside to longs should the present inertia in option markets be rudely interrupted by a Trump victory yesterday;  the set-up is similar for AUDUSD and AUDNZD as well. You could very well observe that in the massive shrink in IVs of NZDUSD and AUDUSD across various tenors.

The unexciting contours of the antipodean macro story are partly to blame for the comparatively low election day-weight priced into AUD and NZD vols, with currency resilience underpinned by marginal improvements in terms-of-trade dynamics and policy rates that are on flat or shallow easing tracks already baked into rate expectations.

The other factor behind such low forward vol numbers is that the 1-month forward window spans the December holiday season which tends to be a quiet period in markets.

While indubitably true, we reckon that there is enough cushion built into current FVA prices to stomach an aggressive rolldown of 1M vols if the elections turn out to be a non-event, such that their payout profile is asymmetric, but a meaty 2-3 vol MTM in the event of a Brexit-like shock.