Derived Data That Drive Results
By Richard Pace — Jan 28 - 02:45 AM
Weeks of limited spot ranges pushed implied volatility to crisis lows
That's changing as USD's bid threatens 104.40 -range top since December
Short covering lifts 1-month implied volatility 0.7- to 5.75
However, expensive versus historics - needs actual volatility to perform
Premium for JPY calls over puts (downside) on risk 1-month reversals hit
0.25 vol premium for JPY calls over puts is a new multi year low
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1-month USD/JPY implied volatility Click here
USDJPY 1-month 25 delta risk reversals Click here
Source:
Refinitiv IFR Research/Market Commentary
