Derived Data That Drive Results
By Richard Pace — Jan 27 - 05:47 AM
USD/JPY implied volatility crisis lows - below all G10 USD/majors
Fair value historic (actual) volatility measures even lower
Short vol positions bank premium as spot lacks volatility - profitable
DNT options can return big rewards for minimal risk nL1N2K00M0
FOMC now included in overnight options - implied volatility up marginally
Break-even for overnight straddle still a modest 32 JPY pips nL8N2K173U
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Overnight expiry FX option implied volatility Click here
USDJPY 1-month volatility measures Click here
Source:
Refinitiv IFR Research/Market Commentary
