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Feb 16 - 05:55 AM

USD/JPY - FX Options Flag Growing Fears Of More USD/JPY Gains

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




For more click on FXBUZ


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

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