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Jun 18 - 05:55 AM

USD/JPY - FX Options Shun Intervention Risk, Target USD/JPY 160.00

By Richard Pace  —  Jun 18 - 03:50 AM
  • FX option trade flows in USD/JPY show traders positioning for 160.00 retest

  • Buyers of JPY put/USD calls - outright and as spreads and with RKO triggers

  • Implied volatility falling amid higher spot and post BoJ risk paring

  • Benchmark 1-month now 8.0 vs 9.0 last week - new low since April

  • JPY call over put implied volatility premium on 1-month risk reversals 1.1

  • This downside strike risk premium was 1.75 before intervention on April 29

  • Market seemingly less concerned about renewed intervention this side of 160

For more click on FXBUZ

Source:
Refinitiv IFR Research/Market Commentary

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