• USD/JPY option implied volatility fell after BoJ, but still looks overpriced

• Benchmark 1-month expiry implied vol was long term low 8.4 mid June

• Traded above 11.0 after expiry included July 28 BOJ, peaked 12.5 July 28

• Currently back around 10.0 but could certainly fall further post NFP/CPI

• 1-month historic/realised volatility is up from sub 7.0 to 11.5

• Historic shows real FX volatility before/after BoJ - it's still within price

• Realised vol should revert lower as USD/JPY settles and weigh implied vol

• Selling options risks unlimited losses if actual volatility should increase

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