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
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USDJPY 1-month 25 delta risk reversals Click here
USD/JPY 1-month implied volatility Click here
Source:
Refinitiv IFR Research/Market Commentary