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JPY Vols Marked to YTD Highs as One-Week Captures BoJ

OPTIONS
  • Overall options volumes were more subdued Monday, with total notional of ~$75bln despite a much busier Asia-Pac session. So far Tuesday, activity is faring better, with outsized interest in USD/JPY (again), USD/INR and AUD/JPY leading.
  • USD/JPY downside protection has been the dominant theme Tuesday - evident in interest in Y148.00 and Y150.00 put strikes. One-week vols now capture the March BoJ decision, and implied has been marked up to 12.75 points - the highest since December last year and the last 'live' BoJ meeting (although back in Dec, the contract also captured Fed, ECB event risk).
  • With implied ticking higher, an ATM straddle implies a break-even of just over 200 pips for a Tuesday expiry - relative to a ~150 pip swing on an option struck to expire one day prior.
  • Most notable strike rolling off at today's cut - and just 90 minutes after the US CPI print - include $1.2bln at 1.0900-20 in EUR/USD, $760mln at Y147.40-60 in USD/JPY and A$1.1bln at $0.6330-50 in AUD/USD.

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