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USD/JPY Approaching 138.00, 1 Week Risk Reversal Reversing Recent Sharp Dip

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USD/JPY continues to track higher, last at 137.85/90, +0.50% higher for the session and the weakest performer within the G10 space. Note yen was a relative outperformer through Tuesday's session, so this may reflect some partial reversal of this trend. For USD/JPY mid Dec highs (138.17) are not too far away.

  • Yield differentials at the back end are wider today, but only modestly and we remain below recent peaks for the 10yr US-JP swap spread (last +288bps).
  • 1 week implied vol continues to track higher. We were last near 18%, fresh highs back to mid Jan. This comes ahead of the BoJ on Friday, along with the US non-farm payrolls report.
  • 1 week risk reversals are also correcting from the sharp recent dip. We last were near -3.10/15, against earlier lows in the week of -3.71.
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USD/JPY continues to track higher, last at 137.85/90, +0.50% higher for the session and the weakest performer within the G10 space. Note yen was a relative outperformer through Tuesday's session, so this may reflect some partial reversal of this trend. For USD/JPY mid Dec highs (138.17) are not too far away.

  • Yield differentials at the back end are wider today, but only modestly and we remain below recent peaks for the 10yr US-JP swap spread (last +288bps).
  • 1 week implied vol continues to track higher. We were last near 18%, fresh highs back to mid Jan. This comes ahead of the BoJ on Friday, along with the US non-farm payrolls report.
  • 1 week risk reversals are also correcting from the sharp recent dip. We last were near -3.10/15, against earlier lows in the week of -3.71.