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Jan 27 - 08:55 AM

USD/JPY - Big Risk Averse Jump In USD/JPY FX Option Premium, 150 Hedges

By Richard Pace  —  Jan 27 - 06:37 AM

• Latest USD/JPY drop to new 2025 low has reignited demand for FX options

• Spot slide said to reflect potential risk aversion from tech stock sales

• Big 2.0 jump in 1-week expiry USD/JPY implied volatility to 11.5

• Benchmark 1-month expiry significant jump to 10.25 from 6-month low 9.0

• Premium for JPY calls over puts on risk reversals spikes, too

• 1-month 25 delta risk reversal to 2025 highs at 1.25 from 0.8 for downside

• Option dealers also note demand for sub 150.00 strike options

• These options would hedge risk of deeper spot losses and related volatility
1-week and 1-month USD/JPY implied volatility


USD/JPY option risk reversals


(Richard Pace is a Reuters market analyst. The views expressed are his own)

Source:
London Stock Exchange Group | Thomson Reuters

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