• Overnight USD/JPY expiry option implied volatility is monumentally high

• Flags BoJ risk premium and expectations for significant USD/JPY volatility

• However, overnight EUR/USD implied volatility barely moved since BoJ capture

• 11.5 has premium/break-even of $52-pips in either direction for a straddle

• That's below the 2023 average and suggests very limited spillover risk

• Broader option price action suggests EUR/USD is on hold for now nL1N3420HT

  
  

  
  

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