FX vol surface - Cut time convention

dizzyquant · July 5th, 2013, 2:39 am

I have observed that almost all the FX brokers follow the NY 5 pm rollover for the ON vol smile and also usually a 10 am NY cut time.However studying the surfaces available on Bloomberg (OVDV), I come across FX pairs like GBPUSD, AUDUSD, NZDUSD, EURAUD etc which don't show a cut time. is there a separate known convention for such FX pairs or am I safe to assume a 10 am NY cut time for these.

yugmorf2 · July 15th, 2013, 7:20 am

I recall reading somewhere that NZD rolls at a different time of the day. Possibly it's broker dependent - can anyone confirm this?