• A recent turn in FX option price action was consistent with USD/JPY gains

• But, despite a reduction in BoJ rate hike bets, worries clearly simmer

• Implied volatility gauges actual volatility risk - a key part of premium

• Post BoJ expiry implied volatility remains very high - 1-week above 12.0

• Risk reversals gauge the spot direction most likely to increase volatility

• 1-week risk reversals increase to 1.95 JPY call over put from 1.25 last week

• JPY calls give holders the right to buy JPY vs sell it (sell USD/JPY)

• There have also been buyers of options that would benefit from USD/JPY drop

For more click on FXBUZ