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Oct 08 - 06:55 AM

USD/JPY - Beware USD/JPY Option Barriers And Short Positioning

By Richard Pace  —  Oct 08 - 05:12 AM
  • USD/JPY charts point to potential gains above 2019 highs 112.40 nL1N2R40DH

  • 112.50 holds big option barriers and options market looks short above

  • DTCC data shows a lack of short term expiry positioning, so short gamma

  • Break of barriers will typically add to short gamma and a need to cover it

  • Can often increase volatility, further FX gains, and higher option cost

  • Option implied volatility already firmer as market wary, especially pre NFP

  • Big NFP beat can drive U.S. yields and USD/JPY higher nL1N2R40GA

For more click on FXBUZ


USD/JPY existing FX option positions Click here

USD/JPY 1-month expiry option implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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