• Sub 3-month expiry USD/JPY FX implied volatility breaks pre intervention levels from late April for new 4-year lows

• Implied volatility gauges current and expected realised volatility so no surprise to see it so low with spot glued near 159.00

• Other currency pairs are also subjected to low realised volatility which continues to pressure option prices

• Most of the FX option implied volatility levels in the G10 FX majors are at, or near to pre Mid-East conflict lows

• Without a renewed volatility catalyst, FX option implied volatility looks set to stay lower for longer
Benchmark 1-month expiry FXO implied volatility


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