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Implied Vol. Comfortably Below YtD Peaks


Note that although the implied volatility of JGB futures has pushed higher in the wake of the BoJ’s surprise YCC tweak, the JPX JGB VIX Measure sits somewhat shy of peaks observed around the 3 major challenges of the BoJ’s YCC settings seen earlier in ’22. Why? Our best guess is that the new 50bp YCC cap is more subdued than some of the alternatives that were being priced into the measure during the aforementioned challenges, while the finite outcome naturally provides less variability than the unknown outcomes speculated on earlier in the year.


Source: MNI – Market News/Bloomberg

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MNI London Bureau | +44 0203-865-3809 |

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