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Oct 14 - 05:55 AM

USD/JPY - Option Flows Flag A Growing Conviction For A Lower USD/JPY

By Richard Pace  —  Oct 14 - 03:40 AM
  • FX option flows have seen an increase in demand for JPY calls (downside)

  • Very little intrest for topside, even when USD/JPY tested 106.00 last week

  • Mon-Tues saw buyers of short dated expiry strikes near 105.00 nL1N2H304A

  • Today there's a pick up in demand for 1-3-month strikes as low as 102.00

  • These options can benefit from lower spot, show growing conviction for it

  • Risk reversals show increased premium for JPY calls over puts too

  • 1-month 25 delta paid 1.2 vols JPY calls Wed's, 4-month 10 delta paid 3.45

  • FX forecasts from 1 bank see USD/JPY below 100.00 in 2021 nL1N2H406W



1-week, 1-month and 3-month USD/JPY risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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