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Mar 11 - 05:55 AM

USD/JPY - Huge Expiries May Prove Focal As USD/JPY Risk Premiums Ease

By Richard Pace  —  Mar 11 - 03:57 AM
  • DTCC data shows 2 stand out FX option expiries for Thursdays 10-am NY cut

  • 107.75 (1.8BLN), 108.50 (1.2BLN) nL1N2L90GR

  • Related hedging can often draw price if spot near strike as expiry looms

  • Volatility risk premiums falling since in-line US CPI and 10yr UST auction

  • Benchmark 1-month implied volatility now 6.1, from a 6.95 peak Monday



For more click on FXBUZ


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

Source:
Refinitiv IFR Research/Market Commentary

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