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JPY Upside Protection in Demand as Spot Rolls Over

OPTIONS
  • Currency options volumes about average, with more active JPY, EUR and TWD markets countering subdued trade in CNY and AUD. In vol space, front end implieds across DM are under pressure at the NY crossover, with markets trimming recent gains after the rally from mid-February lows.
  • The exception today is the JPY curve, in which 1m vols are inching closer to multi-month highs posted at the beginning of March. Put vols are countering that of calls today, with 1m risk reversals bucking the recent trend and turning lower.
  • Reflecting the move lower in USD/JPY RR, downside protection has been in demand throughout the European morning, with sizeable interest in Y108.50, Y107.00 and Y106.00 put strikes.
  • One trade worth highlighting was consistent with a Y106/104 put spread rolling off at the beginning of May - a trade that breaks even on move below ~105.80 in spot.

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