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Jul 20 - 06:55 AM

USD/JPY - Warnings From The FX Options Market

By Richard Pace  —  Jul 20 - 04:48 AM
  • Risk aversion fuelled a renewed rise in USD/JPY option premiums

  • Implied volatility is higher and yet to recede - 1-month 5.1 to 5.8

  • Premiums for downside vs upside strikes test new highs since Jan at 0.6

  • Spot dealers note paring of JPY shorts from real money and funds this week

  • While options stay elevated, traders aren't ruling out more JPY gains

  • Related comment nL1N2OW0G6




For more click on FXBUZ


USD/JPY 1-month expiry risk reversals Click here

USD/JPY 1-month expiry implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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