(Adds latest price shift after spot drop and adds link to line 5)

• Benchmark 1-month expiry USD/JPY FX option implied volatility was sold at 5.8 on Thursday

• That's an ever new low for the contract since February 2022. 5.0 was post pandemic low from Sept 2021

• However, when compared with realised volatility over the last 1-month - 5.0 is the current fair value measure

• That's up from 3.85, but a repeat of the past months realised volatility still wouldn't cover the premium

• 1-month implied vol has since been paid at 6.15 after latest USD/JPY drop sub 163.00

• A short gamma driven surge above 164.00 barriers might reignite vol demand, especially if it leads to intervention

• Markets aren't expecting Friday's BoJ to fuel volatility - according to overnight expiry FX option pricing

• FX options eye September Fed reload
USD/JPY 1-month implied volatility


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