USD/JPY vols trade off their best levels, with spot price action slowing into the NY cut. The curve has settled down after moving higher on the rapid spot move up through 120.40. A bout of vol and strike interest was noted on the move up through 120.00 and 120.10. Strikes traded into the 121.00 area for 19th January and 2-wks and 17th January 121.55 strikes dealt at 6.55%. 3-wk 119.50 dealt and 1-mth 122.00 traded up to 6.7% in USD 300 million.
The NY cut has seen a total of USD 1 yard expire at 120.00 and further 120.00 interest is noted tomorrow after O/N dealt at 9% in USD 350 million. The bout of buying has waned, with spot price action slowing after failing to overcome 120.50. Failure to extend on the European morning gains will begin to pressurise the curve, with the market still sensitive to JPY gains despite the recent turn in sentiment.
Risk reversals continue to retain their skew for JPY calls over at 0.15/0.45 in the 1-mth 25-d. These are the lowest levels for some time. 1-wk vols show 7.15/7.90, 1-mth is at 6.50/6.80, 3-mth shows 6.60/6.85, 6-mth is at 6.60/6.85 and the 1-yr is steady at 6.80/7.00.
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