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Oct 12 - 05:55 AM

USD/JPY - Options Flag Risk Of Setback To 105.00

By Richard Pace  —  Oct 12 - 03:40 AM
  • Huge offers, techs, and Tokyo names selling USD/JPY Fri, hinted at setback

  • Massive options held USD/JPY Fri, but lower after expiry nL1N2H009P

  • 105.44 today's low, more demand for options with strikes at 105.00

  • Targeted option flows will often show where FX is deemed to be heading

  • Downside options retain a noticeable premium, even when spot at 106.00

  • Implied volatility heavy - options not looking for much actual volatility

  • Post election implied vol off highs too, while Biden leads polls

  • Less risk of Trump contesting, reduces uncertainty and volatility risk




USD/JPY risk reversals Click here

USD/JPY 1-month implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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