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Jan 28 - 03:55 AM

USD/JPY - Options Market Comes Back To Life

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





1-month USD/JPY implied volatility Click here

USDJPY 1-month 25 delta risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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