• Option risk reversals show most vulnerable side of a currency pair

• Benchmark 1-month 25 delta USD/JPY risk reversals 0.45 JPY calls over puts

• 0.45 is implied volatility premium for downside vs upside strikes

• However, 0.45 is lowest downside premium since September 2022

• It's been as high as 2.1 implied vol premium for downside in March 2023

• Would suggest market less concerned about downside/intervention for now

• One-month expiry USD/JPY implied volatility hit 20-month low this week

• Low implied volatility consistent with low realised volatility/range trade

• Related comment nL1N3C80R1

For more click on FXBUZ