JPY call options have reportedly been in demand of late, inclusive of a 116.65 strike for tomorrow week (Nov 9), a 116.00 strike for Monday week (Nov 13), and 114.50 strikes, in a cumulatively estimated $400mn, for late-month expiry dates (Nov 24 & 28).
Such downside strike interest has helped inflate the risk reversal curve's longstanding JPY call premium. The 1mth 25 delta R/R is currently 0.65/0.95 JPY calls over, having been offered as low as 0.45 pct as recently as Friday (pre-US Q3 GDP).
At the start of this week: an 18-month 25 delta risk reversal reportedly traded at 1.25 pct for JPY calls in an estimated $250mn a leg. Expiry-wise: 116.75 and 117.00 strikes are tipped to expire at today's 10am EST NY cut (15:00GMT), alongside a previously-mentioned 117.25 strike. 116.75 was today"s Asian session base.
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