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Crawl Higher in Spot Puts Week's Biggest Expiries Within Range

JPY
  • USD/JPY's spot strength so far Monday puts the pair within range of the more sizeable option expiries rolling later this week, with over $4bln notional set to roll-off between Y145.70-00 across the Tues-Friday NY cuts.
  • Close proximity of the more notable strikes likely aiding the pullback in 1w vols today, which is nearing the lowest levels of the year so far.
  • Subdued front-end vols unlikely to persist, with the BoJ decision next week (Jan23) likely to become a focal point for markets, despite the core expectation of no policy change until April and the passing of the Shunto pay negotiation phase this Spring.
  • The 2w-1w vol spread has widened to just over 1 point as the longer contract captures the BoJ, but has fallen short of the levels seen ahead of the end-October decision - which may signal more contained expectations for market fallout after the January decision.
  • Spot moves today further undermine the recent bearish theme and instead opens 147.32, the Dec 7 high.
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