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Apr 18 - 07:55 AM

USD/JPY - Leads The Collapse Of FX Option Premium

By Richard Pace  —  Apr 18 - 05:35 AM
  • Risk appetite returns and potential policy divergence is being questioned

  • That's forced the paring of the recent and rapid rise in FX option premium

  • Implied volatility surged earlier this week, with USD/JPY at the fore

  • Benchmark 1-month expiry USD/JPY implied vol reached 10.1 Tues from 8.5 Fri

  • Its now retraced all of those gains - tri-lateral statement plays its part

  • Broader 1-month implied volatility also drops, but still above Fri lows

  • USD call premiums against the likes of EUR and GBP are slower to ease

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


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