General business sentiment in New Zealand dropped from +13% in December to -1% in March. This was well below the average level of the last few years, although it was still an improvement on the -11% reading in the September quarter, when Fonterra’s milk price forecast was first revised below $4/kg.

Despite the slumping global dairy prices, Fonterra lifted its after tax profit for the half year by 123% to $409 million - as a result of putting more available milk into higher value products.

Over commodity index for New Zealand dropped -1.3% in March, with dairy contributing majority (-4.5%) to the drop. Cheese and butter saw declines of -12.4% and -7.7% respectively, contributing to the woe at a time when global demand is weak.

Glance over NZD/USD OTC FX:

ATM IVs of 1W expiries are at 13.56% and 16.74% for 1M tenors, so the volatilities implied in FX option market of this pair is likely to perceive higher volatility times which is good news for option holders.

Because, higher volatility would mean that the option price has moved or is expected to move over a larger range in a set time period.

Subsequently, Have glance on sensitivity table for the different rate scenarios and their probabilistic outcomes. We've just referred 0.25% OTM strikes and their vols, it showed 0.32 as delta values for underlying outrights, that means 32% chances of finishing in-the-money.

More importantly, we've seen rising IVs, as volatility increases, the Delta of an out-the-money option increases.

Hence, 0.25% OTM put options are the best suitable for those we seek hedging instruments for further downside risks.