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Oct 12 - 04:55 AM

USD/JPY - FX Option Short Gamma Can Fuel USD/JPY Rise - 115 Eyed

By Richard Pace  —  Oct 12 - 02:37 AM
  • USD/JPY options short topside positions/gamma - can fuel rise nL1N2R70FB

  • New buyers of options with strikes as high as 1.1550 - expiring sub 1-month

  • 1-month expiry implied volatility ever new highs since April at 6.5 in Asia

  • Raises cost of all options - 1-month up from 5.0 late September

  • 1month risk reversals lose volatility premium for JPY call/USD put (topside)

  • Adoption of rare JPY put (topside) premium to prop implied vol as spot gains

  • Higher spot/implied vol will continue to reward option holders



For more click on FXBUZ


USD/JPY 1-month 25D risk reversal Click here

USD/JPY 1-month expiry option implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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