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Mar 15 - 06:55 AM
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USD/JPY - Volatility Premium At Extreme Before Big CB Event Risk

By Richard Pace  —  Mar 15 - 04:45 AM

  • Implied volatility is option market measure of expected actual volatility

  • 1-week USD/JPY implied vol peaked 8.0 Mon - levels last seen U.S election

  • It's 2.3 above daily historic - its fair value measure

  • Shows option dealers pricing increased actual volatility this week

  • Two major policy meetings lift USD/JPY premium - FOMC Wed, BoJ Friday

  • Related comment nL8N2LA3LT




    For more click on FXBUZ

USD/JPY 1-week implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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