• Last weeks sharp USD/JPY drop boosted FX option prices to late July intervention led highs

• Benchmark 1-month implied actually exceeded the late July peak at 10.5 after spiking from 7.15 to 10.65

• 1-month 25 delta risk reversals jumped 1.75 to 2.75 JPY calls over puts amid a surge in downside strike demand

• FX option prices/implied vols have eased as spot now consolidates, but they remain well above prior lows

• 1-month implied 9.55 and 1-month 25 delta risk reversals 2.4, while other expiry dates/contracts follow suit

• Related trade flows still outweigh that seen in other currency pairs in Asia/early London Monday

• Related - FX options wrap - USD/JPY warning as NFP fails to shift the dial
USD/JPY 25 delta risk reversals


USD/JPY FXO implied volatility

(Richard Pace is a Reuters market analyst. The views expressed are his own)