April 24, 2024 08:50 GMT
Modest Downside Skew for Spot in Post-BoJ Expiries
JPY
- The break above Y155.00 in overnight trade keeps the JPY in focus as the market continues to attempt to gauge the limits and triggers for potential intervention. As a result, Friday’s Tokyo CPI print and BoJ rate decision are in focus, particularly after the Nikkei article overnight suggested the board would discuss recent JPY weakness directly at their meeting – which starts Thursday.
- Vol markets are bid, with one-week USD/JPY implied rising back toward 11 points as the contract captures next week’s Fed rate decision. Nonetheless, markets are pricing a moderate downside skew for the pair for options expiring at Friday’s NY cut, with implied probabilities seeing a greater likelihood for spot lower at expiry:
- Y155.00 – 46.9%
- Y155.50 – 23.5%
- Y156.00 – 16.4%
Below:
- Y155.00 – 53.1%
- Y154.50 – 36.6%
- Y154.00 - 20.4%
Our full BoJ preview is here: https://roar-assets-auto.rbl.ms/files/61017/BOJ%20... , with market focus on any messaging to support a potential July rate hike, and the view surrounding risks to inflation sustainability ahead.
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