USD/JPY vols carry a bid tone from Friday's session, with the 1-wk at lofty levels and the 1-mth moving modestly higher. Spot movement into the 115.00 area has encouraged further ATM demand. The 1-wk indicates 9.05/9.80 and the 1-mth trades at 7.65/7.95. 3-mth, 6-mth and 1-yr vols are only a touch higher at 7.60/7.85 respectively.
Strikes have traded between 115.00 and 114.00, with 3-wk 114.40 going through and 114.80 in modest size for January 31st. Strikes have reportedly dealt between 114.50 and 114.25 for Friday's session. US NFP data is due on Friday and this will leave the shorter maturities on the firmer side as we approach the latter part of the week. Sentiment for the curve is directly influenced by USD/JPY's ability to trade above the 115.00 handle. Risk for spot remains on the downside and this is underpinning vols.
However, a protracted period of spot movement above 115.00 will encourage profit taking after the decent rise on Friday. Option related bidding has emerged around 115.00, with reports of a 114.90 barrier after 115.00 gave way in Friday's afternoon session. Risk reversals retain a bid tone, with the 1-mth 25-d at 1.20/1.50 JPY calls over.
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