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Mar 27 - 04:55 AM

USD/JPY - Options Show Conflict Between Short Gamma And Intervention

By Richard Pace  —  Mar 27 - 03:45 AM
  • USD/JPY posted new 34-year highs at 151.975 (EBS), 152 barrier defence held

  • More related verbal intervention, with real intervention risk already high

  • FX option traders were seen covering short topside gamma in Asia Wednesday

  • Short gamma covering is need to buy near date expiry options, 152-3 favoured

  • Implied volatility consequently higher - 1-month to 7.5 vs 7.1

  • That's still low end of long term range, highlights intervention worries

  • Intervention expected to quash vol if it does materialise

  • COMMENT-Hedging the USD/JPY short gamma volatility surge nL2N3G50F1

  • FX option trade flows signal USD/JPY directional risks nL2N3G40WI

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


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