Source: DailyFX.com
Despite spot USD/JPY being confined to a range above 90.00 this week, implied vols in the front end of the curve have gained ground. The benchmark 1 month atmf contract is up around 1.5 since Monday"s open to trade 20.5 in early New York today. JPY strength in the crosses - especially against GBP (which has been hit hard across the board this week) and subsequent vol gains there, have lent support to prices in the headline. Also of note are the well hyped 90.00 option expiries due to roll off in USD 7bln tomorrow. These have been keeping spot tied to rates above the strike of late, but their passing could well trigger a slump below.
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Tuesday, January 20, 2009
FX OPTIONS: 1 Month USD/JPY Vol paid 20.5 as Spot Losses Eyed...
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