Explore eFXplus Derived Data That Drive Results
A Data Partner of:
Jul 31 - 08:55 AM

USD/JPY - Options Reflect New Volatility And Directional Risk

By Richard Pace  —  Jul 31 - 06:35 AM
  • Extreme USD/JPY FX option implied volatility forewarned of BoJ risk

  • Implied volatility hit hard post BoJ but finding buyers at lower levels

  • Decent intraday ranges and potential value/protection underpins for now

  • There's been a big reduction in USD/JPY downside volatility risk premium

  • 1-month 25 delta risk reversals drop to 0.6 from 2.0 before BoJ Friday

  • That's the implied volatility premium to buy JPY calls over JPY puts

  • Outright trade flows now show more interest to buy strikes around 145.00

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


  • eFXplus
  • End-user license agreement (EULA)


  • About
  • Contact Us


  • Terms of Service
  • Privacy Policy
  • Disclaimer
© 2023 eFXdata · All Rights Reserved