Explore eFXplus Derived Data That Drive Results
A Data Partner of:
Apr 28 - 04:55 AM

USD/JPY - Option Premiums Plummet As BoJ Hedges Unwound

By Richard Pace  —  Apr 28 - 02:45 AM
  • FX options were hedging the slim risk that BoJ might tighten policy Friday

  • Implied volatility very high with a big premium for USD/JPY downside strikes

  • Those hedges quickly unwound after BoJ held and USD/JPY spiked higher

  • FXO implied volatility and JPY call (USD/JPY downside) premiums hit

  • Benchmark 1-month expiry implied volatility 11.0 to new 2023 low 9.85

  • 1-month 25D risk reversals premium for JPY calls 1.8 to 1.1 - low since Feb

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


  • eFXplus
  • End-user license agreement (EULA)


  • About
  • Contact Us


  • Terms of Service
  • Privacy Policy
  • Disclaimer
© 2023 eFXdata · All Rights Reserved