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Mar 19 - 06:12 AM

USD/JPY - Option Markets Target 110.00

By Richard Pace  —  Mar 19 - 04:15 AM
  • USD/JPY option volatility remains very high but off last weeks extremes

  • USD/JPY relatively calm by comparison as USD demand counters JPY haven bid

  • However, implied volatility/option prices are still high amid broader panic

  • 1-month vol is 19.5 vs 17.5 setback lows - it peaked 24.0 vols last week

  • Before the current crisis in mid February - 1-month vol was just 4.5

  • Many buyers 110.00 strikes, 1-2-week maturities, targeting this level n-term

  • Overnight options reflect true scale of FX volatility panic nL1N2BC07U



USDJPY 1-month vol: Click here

Source:
Refinitiv IFR Research/Market Commentary

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