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JPY: Spot Near Option Expiry Levels For NY Cut Later, Yen Dominating Volumes

JPY
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USD/JPY sits just off session highs in latest dealings, sitting close to 153.55/60. There is reasonable option expiries for NY cut later, 153.50-70($1.7bln), which may be influencing spot trends. A clean break higher could see 154.00 targeted, above which lies the 50-day EMA. 

  • Yen is off around 0.70% versus the USD, comfortably the worst G10 FX performer against the USD, with the bias towards higher beta skewed slightly higher. 
  • So far today, per DTCC, USD/JPY options volumes are just under $2bn, although this isn't beyond what we should normally expect. This is around 35% of total FX options volumes (per DTCC).
  • The larger volume options transactions are skewed towards lower strikes levels compared with current spot and are mostly against the USD. 152.00, 152.50 have traded, with 19 Feb expiries. Longer dated expiries, with strikes at 150.05 and lower have also traded.
  • USD/JPY risk reversals are mostly following spot direction. The 1 month is back to -1.22, against recent lows of -1.61. 1 month implied vol is a touch higher, but near 10% is well off 2024 cycle highs.
  • JPY futures volumes sit off earlier highs, but again remain within recent norms. Open interest continues to climb though. 
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USD/JPY sits just off session highs in latest dealings, sitting close to 153.55/60. There is reasonable option expiries for NY cut later, 153.50-70($1.7bln), which may be influencing spot trends. A clean break higher could see 154.00 targeted, above which lies the 50-day EMA. 

  • Yen is off around 0.70% versus the USD, comfortably the worst G10 FX performer against the USD, with the bias towards higher beta skewed slightly higher. 
  • So far today, per DTCC, USD/JPY options volumes are just under $2bn, although this isn't beyond what we should normally expect. This is around 35% of total FX options volumes (per DTCC).
  • The larger volume options transactions are skewed towards lower strikes levels compared with current spot and are mostly against the USD. 152.00, 152.50 have traded, with 19 Feb expiries. Longer dated expiries, with strikes at 150.05 and lower have also traded.
  • USD/JPY risk reversals are mostly following spot direction. The 1 month is back to -1.22, against recent lows of -1.61. 1 month implied vol is a touch higher, but near 10% is well off 2024 cycle highs.
  • JPY futures volumes sit off earlier highs, but again remain within recent norms. Open interest continues to climb though.