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Sep 10 - 06:55 AM

Huge Option Hedges Dominate USD/JPY, EUR/JPY Alert For ECB

By Richard Pace  —  Sep 10 - 04:40 AM
  • USD/JPY drawn toward massive USD/JPY expiries by related hedge flows

  • DTCC data shows USD 4-billion between 105.80-106.00 Thursday 10-am NY cut

  • Trades 106.30-106.01 Thurs, up from 105.78 Wed on improved risk sentiment

  • EUR/JPY 1.2533-59 range Thurs after recovery from Weds early Aug low 124.43

  • Resistance Wed/Tues highs 125.63 and 21-dma 1.2566

  • Overnight expiry EUR/JPY option implied volatility 11.5 from 9.0 pre ECB

  • Break-even for straddle now 60, from 47 JPY pips in either direction




EUR/jpy overnight expiry implied volatility Click here

EURJPY=EBS Click here

JPY option expiries Click here

Source:
Refinitiv IFR Research/Market Commentary

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