BoJ threat raises JPY volatility risk to 2024 high
July 30 (Reuters) -The FX volatility upon which FX options thrive is an unknown, yet key part of their premium, so dealers use implied volatility as a stand-in. Current levels of implied volatility suggest that Wednesday's Bank of Japan policy announcement poses the biggest threat to short term JPY-related volatility this year.
Overnight expiry is the shortest-duration FX option contract, and therefore any change in its implied volatility when incorporating a major event highlights the additional realised volatility (risk premium) that event is expected to generate. Since including Wednesday's looming Bank of Japan policy announcement, overnight-expiry JPY-related implied volatility has jumped once again to its highest since the Dec. 19 BoJ policy announcement.
Overnight expiry USD/JPY implied volatility was around 17.0 on Monday and reached 28.0 on Tuesday (expiry at 10 a.m. New York on Wednesday). The premium/break-even for a simple vanilla straddle has increased from an already elevated 110 JPY pips to 181 JPY pips in either direction.
For context, overnight expiry USD/JPY implied volatility reached 25.0 before the April 26 BoJ and peaked at 33.0 (213 JPY pips) for the Dec. 19 BoJ.
Risk reversals are an FX option contract that benefits from FX realised volatility in one direction over the other and they show a higher premium for USD/JPY downside, over upside strikes.
The BoJ are expected to announce a reduction in bond purchases on Wednesday and interest rate futures are pricing a 55% chance that the central bank will raise rates by 0.1% to 0.2%.
Beware massive 155.00 FX option strike hedging flows this week nL1N3JM09S
For more click on FXBUZ
Overnight expiry USDJPY, EUR/JPY, AUD/JPY FXO implied volatility https://tmsnrt.rs/3WIpsh1
(Richard Pace is a Reuters market analyst. The views expressed are his own)
</body></html>
免責聲明: XM Group提供線上交易平台的登入和執行服務，允許個人查看和/或使用網站所提供的內容，但不進行任何更改或擴展其服務和訪問權限，並受以下條款與條例約束：（i）條款與條例；（ii）風險提示；（iii）完全免責聲明。網站內部所提供的所有資訊，僅限於一般資訊用途。請注意，我們所有的線上交易平台內容並不構成，也不被視為進入金融市場交易的邀約或邀請 。金融市場交易會對您的投資帶來重大風險。
所有缐上交易平台所發佈的資料，僅適用於教育/資訊類用途，不包含也不應被視爲適用於金融、投資稅或交易相關諮詢和建議，或是交易價格紀錄，或是任何金融商品或非應邀途徑的金融相關優惠的交易邀約或邀請。
本網站的所有XM和第三方所提供的内容，包括意見、新聞、研究、分析、價格其他資訊和第三方網站鏈接，皆爲‘按原狀’，並作爲一般市場評論所提供，而非投資建議。請理解和接受，所有被歸類為投資研究範圍的相關内容，並非爲了促進投資研究獨立性，而根據法律要求所編寫，而是被視爲符合營銷傳播相關法律與法規所編寫的内容。請確保您已詳讀並完全理解我們的非獨立投資研究提示和風險提示資訊，相關詳情請點擊 這裡查看。
