• 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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