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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
JPY
- With overnight FX vol contracts now capturing both Kuroda's last rate decision at the BoJ as well as the Nonfarm Payrolls release Friday, prices are well bid - and most notably in USD/JPY, with O/N implied vols showing above 41 points for the first time since the January BoJ decision and just the second time since 2016.
- The BoJ vol premium is clear to see - EUR/USD vols are higher ahead of NFP, but by a considerably smaller margin - suggesting markets are hedging against JPY volatility despite the consensus looking for an unchanged rate decision.
- An ATM USD/JPY straddle breaks even on an approx. 230 pip swing in the pair (the equivalent break-even in January was ~275 pips), and the shift lower for short-end risk reversals suggests investors are cautious of a hawkish tweak to YCC - as was the case in December.
- MNI's policy team wrote on March 6th that BoJ officials are "working to understand the impact on U.S growth from additional Federal Reserve rate hikes ahead of possible changes" to YCC.
Figure 1: USD/JPY Overnight Vols top 40 points for only second time since 2016
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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