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Jul 27 - 03:55 AM

USD/JPY - Options Flag Warnings Of Deeper Losses - 105 Barrier Risk

By Richard Pace  —  Jul 27 - 02:10 AM
  • Cost to protect against USD/JPY volatility/downside via options, has jumped

  • Benchmark 1-month implied volatility biggest short term gains since March

  • From 5.2 on Thursday, it was paid 7.1 in Asia Monday

  • Implied vol premium for JPY calls over puts (spot downside) much higher too

  • 1-month risk reversals 1.65 vols Monday vs 0.5 for JPY calls early last week

  • USD/JPY option barriers and related defence await at 105.00, then 104.50

  • Option flows show many 105 strike buyers, some as low as 103.50 too



USDJPY 1-month implied volatility Click here

USDJPY 1-month 25 delta risk reversals Click here

Source:
Refinitiv IFR Research/Market Commentary

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