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Dec 02 - 07:55 AM

USD/JPY - Traders Beware The Huge NFP Volatility Premium

By Richard Pace  —  Dec 02 - 06:00 AM
  • Short term traders holding USD/JPY positions before NFP data should beware

  • The premium in short dated expiry options to capture volatility is huge

  • Overnight expiry options captured NFP from Thursday and spiked accordingly

  • Premiums have significantly increased since, fuelled by more USD weakness

  • Premium/breakeven for overnight expiry straddles 170-pips either direction

  • That's up from 105-JPY pips when first capturing today's U.S. jobs data

  • Related comment nL1N32S0KF



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Source:
Refinitiv IFR Research/Market Commentary

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