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Apr 26 - 05:55 AM

USD/JPY - Bank Of Japan Risk To USD/JPY - According To FX Options

By Richard Pace  —  Apr 26 - 04:01 AM
  • FX option Implied volatility gauges actual volatility expectations

  • Holders want actual volatility to outperform implied over life of option

  • Overnight expiry now Tues 10-am New York - so gets BoJ decision

  • However, overnight implied volatility is lower than last week 8.0 average

  • 7.0 implied volatility - straddle break-even 31 JPY pips either direction

  • Suggests little, if any volatility risk premium added for BoJ

  • Holding post Thursday expiry might be preferable - also gets U.S. FOMC

  • Related comment nL1N2MJ0GW

For more click on FXBUZ

Overnight expiry USD/JPY implied volatility Click here

Refinitiv IFR Research/Market Commentary


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