Free Trial

Pullback in Spot Starting to Support Vols

EURJPY
  • EUR/JPY pullback starting to support vols* As mentioned above, EUR weakness is evident against broader G10, and EUR/JPY has extended the recent losing streak to 8 sessions and has nearly erased the entirety of the early November run higher. This leaves 157.70 the next level to watch, with both the 50- and 100-dmas now broken. ADP came in softer to favour further downside, although reaction somewhat limited 10 minutes out from release.
  • Implied vol has been supported by the move lower in spot, with 6m implieds recovering off a YTD low of 8.4 points at end-November, however still remains well below the YTD average of 10.2 points.
  • We wrote on Nov30 that the pullback in implied has allowed for cheaper positioning for a pick up in volatility across H1'24, particularly with the contracts capturing the potential exit of BoJ NIRP and a first ECB rate cut of the policy cycle.
  • Of note, BoJ's Ueda appears in front of the Diet overnight US time (Thursday local), however he's unlikely to disclose anything new on policy - although any opinions on wage developments or prices across H1'24 will be carefully watched by markets.

To read the full story

Close

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.