• FX option implied volatility gauges realised volatility expectations

• 1-month expiry now December 19 - includes Bank of Japan policy announcement

• 1-month USD/JPY implied vol up 1.0 from new 20 month low around 6.8 Thursday

• Now 7.8 - premium increase 35 JPY pips to 276 JPY pips, 0.24% USD to 1.84%

• For a straddle on USD 30 million that's an additional USD 70,000 premium

• That's not insignificant given that BoJ aren't expected to alter policy

• Increase shows market is not ruling out USD/JPY related volatility post BoJ

For more click on FXBUZ