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Sep 15 - 08:55 AM

USD/JPY - Option Buyers Are Back From The Dead

By Richard Pace  —  Sep 15 - 06:36 AM
  • Demand for options reignited as USD/JPY falls to new 2-week low sub 109.30

  • Comes after weeks of inactivity that took premiums to pandemic-era lows

  • One-week implied volatility 4.0 to 4.75, 1-month 4.9 to 5.1, 3m paid 5.35

  • 1-month risk reversals paid 0.15 to 0.3 premium for JPY calls over puts

  • No panic yet nL1N2QH0FA, downside protection still cheap nL1N2QH0JU

  • However, prudent value hunters already making profits nL1N2QH0NE

  • Huge options expire Wed's, can limit recovery potential nL1N2QH0C7




For more click on FXBUZ


USD/JPY 1-month risk reversals Click here

USD/JPY 1-week-1-month FX option implied volatility Click here

Source:
Refinitiv IFR Research/Market Commentary

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