Derived Data That Drive Results
By Richard Pace — Nov 19 - 02:35 AM
USD/JPY implied volatility lower after disappointing BoJ Ueda speech Mon
Benchmark 1-month expiry up from 10.2 to 11.2 prior, hit 10.35 after
1-month FX option expiry now Dec 19 and therefore includes Dec Fed and BoJ
1-month implied volatility jumps to 11.3 - new post U.S. election high
Shows that FX options market is bracing for fair amount of actual volatility
1-month risk reversals increased JPY call over put premium pre Ueda speech
Holds 1.2 from 0.8 and shows USD/JPY downside is perceived more vulnerable
FX Options wrap nL1N3MP0IF
For more click on FXBUZ
Benchmark 1-month USD/JPY FXO implied volatility Click here
USD/JPY 1-month expiry 25 delta FXO risk reversal Click here
Source:
London Stock Exchange Group | Thomson Reuters
