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Feb 23 - 03:55 AM

USD/JPY - FX Options Warn Of Impending USD/JPY Volatility Risk

By Richard Pace  —  Feb 23 - 02:35 AM
  • FX option implied volatility gauges actual FX volatility expectations

  • Overnight expiry now 10-am New York Friday- only USD/JPY is higher in majors

  • Overnight expiry USD/JPY implied vol reached 17.75 in Asia Thur vs 12.0 Wed

  • Premium/break-even for straddle now 100-JPY pips vs 67-JPY pips either side

  • Flags volatility risk from Fri's Jpn CPI, comments by new BoJ gov/deputies

  • Similar gains in other JPY related overnight options reinforce this JPY risk

  • 1-month expiry higher since capturing March 22 Fed nL1N3520NT

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


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