(Corrects Monday's daily range at the end of final line)

• Bessent-Katayama intervention talks late Monday flipped USD/JPY option sentiment, sparking a scramble for front-end downside

• 159.00 strikes popular, especially expiries post-NFP, as traders hedge growing perceived risk of intervention-driven drop

• JPY calls increase already high premium to puts — 1-month risk reversals from 1.2 to 1.45, reflecting growing downside risks

• 1-month implied vol edges to 8.0 - already up sharply from 6.3 last week, as breakout and intervention fears keep nerves on edge

• Spot USD/JPY steadies in tight 161.52-69 range on Tuesday after Monday's sharp retreat from 161.93 to 161.06
USD/JPY FX option implied volatility


USD/JPY 25 delta risk reversals


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