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Jan 29 - 06:55 AM

USD/JPY - Option Flows Are Very Telling

By Richard Pace  —  Jan 29 - 04:41 AM
  • Weeks of range bound USD/JPY spot had taken option premium to crisis low

  • Many short vol trades, like range binaries were in play - barriers each side

  • More of those barriers were above, than below USD/JPY - and now being erased

  • 1-month implied volatility spiked 5.0-5.7 Mon, Setback demand 5.3-5.4 Fri

  • Increase in JPY put/USD call (topside) option demand Fri - strikes 105.00-50

  • They would benefit from a continued spot rise toward the strikes

  • Long standing 1-month JPY call (downside) vol premium new multi year low 0.2

  • Realted comments nL1N2K31NPnL1N2K40M4




USDJPY 1-month 25 delta risk reversals Click here

USD/JPY 1-month implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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