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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
At this stage, USD/JPY overnight implied vols sit below earlier pre BoJ levels from 2023, see the chart below. We currently track at 17.84%, not too far off pre September meeting BoJ levels, but well below pre July meeting levels.
- This fits with the broader consensus that no major changes will be delivered at tomorrow's policy meeting. Still, it is expected to be a close call, with MNI's policy team noting a higher YCC cap is expected to focus heavily in BoJ discussions.
- In terms of option expiries for later at the NY cut we have 149.50 ($1.51bn), and 150.50($809.3mn) in terms of expiries that are within striking distance of current spot.
- Slightly longer dated 1 week implied vols have also risen, the 1 week at 10.8%, but this is below 2023 highs, likewise for the 1 month at 8.35%, which is painting a very benign picture.
- The 1 week risk reversal sits at -1.61, with recent lows near -2.00. The 1 month is near -0.92, comfortably above earlier October lows near -1.5.
Fig 1: USD/JPY Overnight Implied Vol sub 2023 Highs
Source: MNI - Market News/Bloomberg
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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