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Overnight Volatility Elevated Ahead Of BoJ

JPY

USD/JPY overnight implied volatility sits at 18.2350% as option markets price in a ¥147.36-¥150.71 range in the aftermath of today’s Bank of Japan rate decision.

  • Overnight risk reversals are skewed to the downside, however we sit above levels seen prior to previous BoJ meetings in 2023.
  • At a ¥150 strike there are $1.189bn of USD/JPY Calls, at a ¥148.60 there is a mixture of Calls and Puts totalling $450mn.
  • Technically the uptrend remains intact. Resistance comes in at ¥150.78, high from Oct 26, and ¥151.95, high from Oct 21. Support is seen at 147.98, the 50-day EMA.

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