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Jan 16 - 02:55 AM

USD/JPY - Options Show True Extent Of Impending BoJ Risk To USD/JPY

By Richard Pace  —  Jan 16 - 02:25 AM
  • 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

For more click on FXBUZ

Refinitiv IFR Research/Market Commentary


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