Derived Data That Drive Results
By Richard Pace — Feb 16 - 03:43 AM
USD/JPY option premiums have increased with spot - flags topside fears
Benchmark 1-month paid 5.6, amid increased demand for JPY put options
JPY put/USD calls allow holders to buy USD/JPY at higher levels
Investors are buying strikes above 106.00 with sub 1-month expiries
JPY puts now premium to calls in sub 1-month expiries - that's rare
1-month risk reversals are just 0.1 JPY calls/USD puts
That's its lowest downside versus upside volatility premium in 4-years
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USD/JPY 1-month 25 delta risk reversals Click here
1-week and 1-month implied USD/JPY volatility Click here
Source:
Refinitiv IFR Research/Market Commentary
