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Pressure Persists, Daily Volumes Triple Average

JPY
  • Pressure on JPY persisting well into the NY crossover and no surprise to see solid volumes across currency markets, and in particular JPY futures.
  • H4 JPY futures so far today have now seen cumulative volumes exceed yesterday's daily total - putting activity at over triple the average for this time of day.
  • JPY vols are retracing sharply as they discount the BoJ risk: USD/JPY 1-week vols are back below 10 points to dip back below the YTD average of 10.6 points.
  • Levels to watch on this USD/JPY rally include 145.26, the 76.4% retracement of the Dec 11 - 14 sell-off as well as 146.59, the Dec 11 High.

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