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Feb 13 - 07:24 AM

USD/JPY - Going Down And Options Paying Up To Protect It

By Richard Pace  —  Feb 13 - 05:30 AM
  • JPY calls/USD puts are the option of choice Thursday - premiums gaining

  • Risk reversals show it - 1-month JPY calls over puts paid 1.1 and 1.2 vols

  • Implied vols off lows - 1-month paid 4.55 through 4.8 so far in London

  • As spot falls and vols gain, those holding risk reversals will profit

  • JPY calls were still the best of choice, even when spot tested 110.00+

  • Options not convinced of USD/JPY upside potential, clearly wary of setbacks





USDJPY 1-month vol: Click here

USDJPY risk reversals: Click here

Source:
Refinitiv IFR Research/Market Commentary

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