USD/JPY vols continue to trade on a heavy footing, with spot hovering across the 118.00 handle. The move from 117.80 up towards 118.20 overnight had a limited impact on the curve, with spot still well within the recent 117.10-118.60 trading range. The 1-wk is pressured by the forthcoming US Thanksgiving holiday and currently indicates 5.40/6.15 and the 1-mth trades at 6.35/6.65.
The 1-mth has picked up a little, with the pre-weekend theta pressure behind us. As the 1-mth approaches Christmas trading dates there is likely to be an adjustment in prices, which will influence as we enter the latter part of the week. Elsewhere, the 2-mth contract indicates 6.30/6.60, 3-mth is at 6.55/6.80, 6-mth trades at 6.85/7.10 and the 1-yr is stable at 7.20/7.40.
The risk reversal strip is little changed, with the 1-mth 25-d showing a modest premium for JPY calls over at 0.40/0.70 and the 3-mth is at 0.55/0.85. The back end of the strip is holding around 0.85-0.90% over ATM straddles.
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