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USD/JPY Downside Pervades Following Intervention Chatter

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Homepagemarkets-real-timeBulletMarketsForeign Exchange BulletsBank of Japan (BOJ) Market News
  • Front-end JPY vols turned bid on the initial Japan headlines, with the news confirming a meeting between the BoJ/FSA/MoF putting overnight vols clear of 10 points as markets rushed to price the risk of imminent intervention - a premium that's hold well in 1w vols, which have partially reversed the decline posted off the initial BoJ rate hike.
  • Following the initial flurry of headlines and the spike in JPY futures volumes, downside exposure in USD/JPY was in firm demand via options, as Y152.50 and Y151.00 put strikes traded in decent size - tipping the put/call ratio to 4/3 over the past hour or so - bolstering overall options notional to sit ahead of average for this time of day.
  • Outside of JPY markets, CHF remains a currency of focus, with trades consistent with large USD/CHF vol hedges helping prop up activity (0.8955 straddles) as well as large ITM puts, with 0.9360 and 0.9140 put strikes seeing solid interest.
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  • Front-end JPY vols turned bid on the initial Japan headlines, with the news confirming a meeting between the BoJ/FSA/MoF putting overnight vols clear of 10 points as markets rushed to price the risk of imminent intervention - a premium that's hold well in 1w vols, which have partially reversed the decline posted off the initial BoJ rate hike.
  • Following the initial flurry of headlines and the spike in JPY futures volumes, downside exposure in USD/JPY was in firm demand via options, as Y152.50 and Y151.00 put strikes traded in decent size - tipping the put/call ratio to 4/3 over the past hour or so - bolstering overall options notional to sit ahead of average for this time of day.
  • Outside of JPY markets, CHF remains a currency of focus, with trades consistent with large USD/CHF vol hedges helping prop up activity (0.8955 straddles) as well as large ITM puts, with 0.9360 and 0.9140 put strikes seeing solid interest.