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Oct 05 - 05:55 AM

USD/JPY - FX Options Like USD/JPY Higher Post Fed

By Richard Pace  —  Oct 05 - 03:37 AM
  • Dealers note more client interest for JPY puts/USD calls expiring after Fed

  • Flows would suggests they want to protect against further USD/JPY gains

  • Buyers of 111.50-112.00 strikes popular - expiry mid-late November

  • Highest strikes being sought are around 113.00-25 for mid December

  • One-month expiry captured Fed from Monday and implied volatility is higher

  • It's testing early July high at 6.1, not above since April

  • However, despite higher strike demand, USD/JPY downside not without risk

  • Failure above 112 saw JPY call strikes regain premium to puts nL1N2R00S8

For more click on FXBUZ

USD/JPY 1-month expiry option implied volatility Click here

Refinitiv IFR Research/Market Commentary


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