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Jan 23 - 05:55 AM

USD/JPY - Options Sold Post BoJ As Focus Turns To April 26

By Richard Pace  —  Jan 23 - 03:50 AM
  • Elevated USD/JPY option premiums flagged the volatility risk from Tues BoJ

  • Option implied volatility has fallen as risk premium priced out post BoJ

  • Overnight expiry traded 17.0 prior and now 11.0, 1-week hits 8.5 from 9.5

  • Benchmark 1-month expiry implied volatility from 9.25 to 8.8 since the BoJ

  • Lower implied volatility says less perceived risk of realised FX volatility

  • 3-month options may attract when expiry includes April 26 BoJ next Tues

For more click on FXBUZ

Source:
Refinitiv IFR Research/Market Commentary

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