• USD/JPY extended 40-year highs above 163.00 on Tuesday, pushing deeper into intervention risk territory

• Options have seen downside strike premiums increasing in value compared to upside strikes - reflects intervention risk

• Sub 1-month 25 delta risk reversals marginally firmer for JPY calls over puts - the right to buy JPY vs sell JPY

• Option implied volatility increased with spot - benchmark 1-month rising from 4-year lows near 5.95 to 6.5 (now 6.3)

• A lack of follow through and continued low realised volatility continues to weigh on implied vol across all currency pairs
USD/JPY 25 delta option risk reversals


(Richard Pace is a Reuters market analyst. The views expressed are his own)