NZD/USD risk reversal: Correction to gather pace, eyes 23.6% Fib support

The NZD/USD is fast losing height in Asia, courtesy of a big miss in the New Zealand employment data. Currently, the Kiwi is down 0.56% at 0.7427 levels and looks set to extend the drop to 0.7383 [23.6% Fib R of 0.6818-0.7558] as indicated by the drop in the one-month 25-delta risk reversal and the rise in the ATM volatility. 

The chart above shows- 

• Risk reversal [magenta] hit a 4-day low of -0.738 yesterday. The drop indicates increased demand for put options. 
• At 9.6, the ATM volatility [green line] is at the highest level since March 10