• 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

  
  

  
  

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