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Sep 02 - 05:55 AM

USD/JPY - Option Market Price Action Is Telling

By Richard Pace  —  Sep 02 - 03:35 AM
  • USD/JPY option premiums spiked hard after PM Abe news Fri nL1N2FU0V8

  • However, they have seen a sharp retracement since

  • Benchmark 1-month implied volatility from 6.15 to 8.0 Fri, now 6.9

  • 1-month risk reversals paid 1.3 from 0.85 JPY calls over puts, now 1.0

  • Uncertainty over Abe successor had fuelled JPY, and option demand

  • Increased likelihood that Suga will take reigns now and maintain Abe policy

  • That's calming markets and prompting some paring of risk premiums



Benchmark 1-month USD/JPY implied volatility Click here

USDJPY 1-month 25 delta risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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