JPY vols maintain their lofty levels, with further gains being recorded in the underlying since the European morning. USD/JPY 1-wk is now indicating 10.25/11.00 and the 1-mth is at 8.40/8.70 as ATM demand goes through. Risk reversals have also steepened their skew for JPY calls over at 1.45/1.75 in the 1-mth 25-d.
EUR/JPY vols are steady at 9.75/10.50 in the 1-wk and 8.65/9.05 in the 1- mth. 3-mth risk reversal interest was noted in early Europe at 1.45% following yesterday's 6-mth interest at 1.35%. Yesterday saw good 3-mth 160 interest, while today's session has seen O/N 156.65, 2-wk 155 and 3-wk 157.50 go through.
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