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Mar 24 - 04:55 AM

USD/JPY - A Downside Warning From USD/JPY Options?

By Richard Pace  —  Mar 24 - 03:15 AM
  • Premium that USD/JPY options charge for downside protection is increasing

  • 1-month 25D risk reversal is now 0.4 premium for JPY calls over puts

  • That's the right to sell, vs buy USD/JPY in 1-month - up from 0.1 last week

  • Means downside strikes and broader option costs to increase as spot falls

  • Broader implied volatility/option premium meets demand after setbacks

  • 1-month regains 6.05 Wed, having based 5.75 Tuesday from 6.9 last week




For more click on FXBUZ


USD/JPY 1-month 25D risk reversals Click here

USD/JPY benchmark 1-month implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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