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Jan 31 - 07:55 AM

USD/JPY - There's A Clear Message In USD/JPY Option Pricing

By Richard Pace  —  Jan 31 - 06:10 AM
  • 2-3-month expiry USD/JPY implied volatility is much higher than other dates

  • 2-month gets March BoJ and 3-month now captures April's BoJ policy meeting

  • High implied volatility flags increased perceived risk of actual volatility

  • Market focus on next BoJ meetings after BoJ failed to touch policy in Jan

  • April BoJ garners biggest risk premium as will be first under a new BoJ Gov

  • Related comment nL1N34G0KE

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Refinitiv IFR Research/Market Commentary


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