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MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
JPY
As next Friday's BoJ meeting comes into focus, JPY vols and risk reversals look well behaved compared to prior meetings. The chart below plots the 1 week risk reversal and 1 week implied vols. Prior to the March and April BoJ meeting outcomes, we had much lower 1 week risk reversal levels. We are still a little over a week out from the BoJ meeting, so there is still scope for some downside momentum to build.
- Economist expectations are fairly low though heading into the meeting, as per the latest Bloomberg survey.
- The vol space, at this stage, is also painting a fairly benign picture. We sit well below 2023 highs. Also note we have next week's Fed meeting on the 14th.
- Finally, there is a chunky 140.00 option expiry today of $3bn, followed by another tomorrow of $932mn, so this may influence spot USD/JPY.
- We were last back close to the 140.00 level in spot terms, up from earlier session lows of 139.85, which came after positive Q1 GDP revisions.
Fig 1: USD/JPY 1 Week Risk Reversals & Vols Not Expecting BoJ Fireworks At This Stage
Source: MNI - Market News/Bloomberg
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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