• Implied volatility reflects actual volatility risk to FX markets

• JPY related implied volatility at highs last seen at 2020 Pandemic outbreak

• One-week USD/JPY implied volatility up 10.0 since BoJ capture - through 23.0

• 1-month expiry implied volatility up 3.0 to 16.8 since last week

• Big premium for JPY call v put implied vol amid large downside strike demand

• Current option prices warn dealers to expect excessive volatility over BoJ

  
  

  
  

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