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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

Refinitiv IFR Research/Market Commentary


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