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Jan 27 - 07:55 AM

USD/JPY - Profitable USD/JPY Short Vol Trades Don't Care For Fed

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




Overnight expiry FX option implied volatility Click here

USDJPY 1-month volatility measures Click here

Source:
Refinitiv IFR Research/Market Commentary

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