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Jan 09 - 05:00 AM
USD/JPY - Massive Options To Dominate USD/JPY Pre NFP, Risk Premiums Hit
First appeared on eFXplus on Jan 09 - 02:40 AM
  • USD 3-bln 109.15-25 strike options expire 10-am NY Thursday nL1N29E054

  • Related hedging flows will help to keep cash rate close to option strikes

  • Impending NFP risk should also help to keep USD/JPY contained ahead

  • Option risk premiums hit hard as U/S-Iran tensions thaw and spot recovers

  • Benchmark 1-month implied volatility hit 4.9 Thurs vs 6.0 peak Wed

  • Risk reversals rewarded holders this week nL1N29D0A6, but pared now

  • That vol premium for JPY calls vs puts 1.0 vs 1.35 as USD/JPY settles higher



USDJPY expiries: Click here

1-month USD/JPY vol: Click here

Source:
Refinitiv IFR Research/Market Commentary

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