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Mar 16 - 06:55 AM

USD/JPY - Option Premium Flags The Danger Ahead

By Richard Pace  —  Mar 16 - 04:50 AM
  • 1-week expiry USD/JPY implied volatility trades high since US election

  • 3.0 above 1-week historic volatility - actual volatility over last week

  • Holders of implied volatility want actual volatility to outperform it

  • Based on past actual volatility, it will need to increase significantly

  • Implied/historic difference flags the risk premium in price for FOMC and BoJ

  • Dealers clearly expect Fed/BoJ to fuel a rise in actual volatility



For more click on FXBUZ


USD/JPY 1-week implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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