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Oct 15 - 07:55 AM

USD/JPY - Cant Ignore Massive 10-Billion Options N-Term

By Richard Pace  —  Oct 15 - 05:35 AM
  • DTCC data shows a massive USD/JPY 10-billion option expiries nearby

  • They reside between 105.00-50 and expire Thursday and Friday 10-am NY cut

  • Related hedging will have big spot impact due to size and time to maturity

  • USD/JPY 105.04 low Wed's, 105.05-34 range so far Thursday

  • Option implied volatility edges lower - consistent with range trading

  • However, options hold a bearish lean, with premium and demand for JPY calls

  • Suggests greater potential for a slow grind lower in spot nL1N2H505Y



USDJPY option expiries Click here

JPY=EBS Click here

Source:
Refinitiv IFR Research/Market Commentary

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