Derived Data That Drive Results
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
USDJPY FXO implied volatility Click here
USD/JPY 1-month expiry FXO 25 delta risk reversal Click here
Source:
Refinitiv IFR Research/Market Commentary
