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Mar 08 - 06:55 AM

USD/JPY - Options Flag BoJ As Huge Risk To More USD/JPY Gains

By Richard Pace  —  Mar 08 - 05:20 AM
  • Option demand for USD calls not so apparent in USD/JPY, despite higher spot

  • Option prices show big volatility and USD/JPY downside risk from BoJ

  • Market wary of BoJ tightening at any of the impening meetings

  • Kuroda's last meeting at helm on Friday demands huge FX volatility premium

  • Friday implied volatility 30.0, straddle break-even 250-JPY pips either side

  • 1-week implied volatility spiked 10.0 to 17.0 last Friday, now 18.0

  • That shows perceived BoJ volatility risk as non JPY pairs gained 1.5 vol

  • 1-week risk reversals jumped from 1.0 to 3.5 vol for JPY calls vs puts Fri





For more click on FXBUZ


Source:
Refinitiv IFR Research/Market Commentary

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