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Dec 08 - 06:55 AM

USD/JPY - Options Flag Fed Volatility Expectations

By Richard Pace  —  Dec 08 - 05:40 AM
  • 1-week USD/JPY FX options expire after Dec Fed to boost implied volatility

  • Already up 3.0 to 16.0 after Tues U.S. CPI capture it's now around 18.0

  • Premium/break-even for vanilla straddle is 272-JPY pips in either direction

  • Highest premium since mid October and warns of increased volatility risk

  • EUR/JPY 1-week gets ECB, but only up 1.0 to 12.0 - 190-JPY pips either side



For more click on FXBUZ


Source:
Refinitiv IFR Research/Market Commentary

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