• FX options are shedding near term USD/JPY volatility risk premium

• Implied volatility gauges actual volatility expectations - its slumped

• 1-week expiry implied volatility peaked 25.0 in Jan, now 9.8- low since Oct

• Premium for atm straddle is down from 377 JPY pips to 151 JPY pips

• Benchmark 1-month implied volatility eyes 2023 low 11.8 vs 17.5 in Jan

• Long term low from Dec was 9.7, 1-month gets March BoJ and Fed to underpin

• 2-month implied volatility just captured April BoJ to boost that premium

  
  

  
  

  
  

  
  

  
  

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