Explore eFXplus Derived Data That Drive Results
A Data Partner of:
Refinitiv
Jul 19 - 06:55 AM

USD/JPY - Options Show Downside Concerns As Funds Sell

By Richard Pace  —  Jul 19 - 05:00 AM
  • Hedge fund and real money sellers of USD/JPY noted as risk aversion grows

  • No panic, but FX options reflect concerns about USD/JPY downside

  • Traders are buying JPY calls/USD puts that would protect the downside

  • Prices of these options are consequently increasing

  • 1-week-1-month expiry risk reversals 0.5 vol premium for JPY calls vs puts

  • 1-month was 0.3 last week, early July peak 0.6 - not above since Jan

  • Higher JPY call premiums and weaker spot supporting implied volatility

  • Benchmark 1-month implied vol paid 5.55 early Monday - up from 5.1 Friday





For more click on FXBUZ


USD/JPY 1-month 25D risk reversals Click here

USD/JPY 1-month expiry implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

Subscription

  • eFXplus
  • End-user license agreement (EULA)

About

  • About
  • Contact Us

Legal

  • Terms of Service
  • Privacy Policy
  • Disclaimer
© 2021 eFXdata · All Rights Reserved
!