FX options reveal the true risk of more JPY intervention
June 25 (Reuters) -USD/JPY is threatening to retest the 160.24 peak which initiated the first of two bouts of official intervention on April 29 and May 1, but price action in forward-looking JPY-related FX options is different this time.
When USD/JPY eventually broke above the prior intervention peak from October 2022 at 151.94 on April 10, 2024, there was a big reaction in FX option markets. Implied volatility traded significantly higher and its premium for JPY calls over puts, the right to buy JPY versus sell it, followed suit. There was also a surge in demand for outright JPY call options that would protect against any sharp, intervention-driven USD/JPY drop.
The benchmark 1-month expiry USD/JPY implied volatility increased significantly from 7.8 to 11.7 between the 152.00 break on April 10, to the intervention-led drop from 160.25 on April 29. One-month expiry 25 delta risk reversals saw their JPY call over put implied volatility premium increase from 0.5 to 1.9.
This time however, USD/JPY implied volatility gains are less significant. The 1-month expiry contract is up from 7.5 to 9.1 over the last week (now 8.6). But, most importantly, downside risk premiums on risk reversals have actually fallen. In fact, the 1-month USD/JPY 25 delta risk reversal is around the 0.6 setback lows posted after the last intervention had already taken place.
The positive USD/JPY spot/implied volatility correlation, combined with a current lack of implied volatility premium/demand for JPY calls over puts on risk reversals, would suggest two things. 1. There's limited fear of a sudden USD/JPY drop (intervention). 2. The market is more wary of increased FX volatility/further FX gains if USD/JPY can break above the prior intervention peak.
For more click on FXBUZ
USD/JPY 1-month expiry FXO implied volatility https://tmsnrt.rs/4eCM5KD
1-month USD/JPY 25 delta risk reversal https://tmsnrt.rs/45F3sqg
(Richard Pace is a Reuters market analyst. The views expressed are his own)
</body></html>
免责声明: XM Group仅提供在线交易平台的执行服务和访问权限，并允许个人查看和/或使用网站或网站所提供的内容，但无意进行任何更改或扩展，也不会更改或扩展其服务和访问权限。所有访问和使用权限，将受下列条款与条例约束：(i) 条款与条例；(ii) 风险提示；以及(iii) 完整免责声明。请注意，网站所提供的所有讯息，仅限一般资讯用途。此外，XM所有在线交易平台的内容并不构成，也不能被用于任何未经授权的金融市场交易邀约和/或邀请。金融市场交易对于您的投资资本含有重大风险。
所有在线交易平台所发布的资料，仅适用于教育/资讯类用途，不包含也不应被视为用于金融、投资税或交易相关咨询和建议，或是交易价格纪录，或是任何金融商品或非应邀途径的金融相关优惠的交易邀约或邀请。
本网站上由XM和第三方供应商所提供的所有内容，包括意见、新闻、研究、分析、价格、其他资讯和第三方网站链接，皆保持不变，并作为一般市场评论所提供，而非投资性建议。所有在线交易平台所发布的资料，仅适用于教育/资讯类用途，不包含也不应被视为适用于金融、投资税或交易相关咨询和建议，或是交易价格纪录，或是任何金融商品或非应邀途径的金融相关优惠的交易邀约或邀请。请确保您已阅读并完全理解，XM非独立投资研究提示和风险提示相关资讯，更多详情请点击 这里。
