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USD/JPY Spot, Risk Reversals Tilted Higher Post-CPI

JPY
  • USD/JPY extends the post-CPI rally to trade at fresh daily highs, with the upside accelerating on the break above the Friday high of 149.54. Rate is now highest since Oct 3 and the sharp pullback in the pair off the cycle best at 150.16.
  • Best volumes of the day unsurprisingly crossed following that inflation print, but activity has been picking up through early US hours, with the 1446BST/0946ET and 1500BST/1000ET minutes seeing particular flurries of volume that accompany spells of strength in the pair, as per futures markets.
  • Corrective recovery also noted in the front-end of the risk reversals curve, with the 1m contract mimicking spot and printing the highest level since Oct3 at 1.1 points in favour of puts. That contract captures both the Oct31 BoJ and November 1st FOMC rate decisions.

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