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JPY: Yen Option Volumes Again Firm, USD/JPY RSI (14) Close To Oversold

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USD/JPY options are once again dominating the traded volumes so far in Thursday trade. We have seen just over $4.2bn in trades so far, around 42% of total volumes per DTCC. 

  • In terms of some of the larger ticket sizes, a 110.5 strike with USD put has gone through in $170mn (expiry in Feb 2026). We have also had a number of $100 USD puts with strikes from 150.50 and lower go through, although some of these may be related to risk reversals. In latest dealings though some USD calls at the 153.00 level and higher have also gone through.
  • Risk reversals sit lower in terms of ranges from the past 6 months, but we aren't at fresh extremes. These were seen during the MOF intervention episode around early August last year. Implied vols sit up off Jan lows, but are also well off recent cycle highs. The 1 month was last 10.15%, while Q4 peaks last year were closer to 14%. These trends don't suggest the market is expecting a rapid USD/JPY shift.
  • The RSI (14) is getting close to oversold conditions, now back at its lowest levels since Sep last year, see the chart below. This provides some caution around extrapolating recent trends lower in USD/JPY aggressively further, although relative US-JP yield shifts are still well down for the week (stabilizing somewhat today).

Fig 1: USD/JPY & RSI (14) 

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USD/JPY options are once again dominating the traded volumes so far in Thursday trade. We have seen just over $4.2bn in trades so far, around 42% of total volumes per DTCC. 

  • In terms of some of the larger ticket sizes, a 110.5 strike with USD put has gone through in $170mn (expiry in Feb 2026). We have also had a number of $100 USD puts with strikes from 150.50 and lower go through, although some of these may be related to risk reversals. In latest dealings though some USD calls at the 153.00 level and higher have also gone through.
  • Risk reversals sit lower in terms of ranges from the past 6 months, but we aren't at fresh extremes. These were seen during the MOF intervention episode around early August last year. Implied vols sit up off Jan lows, but are also well off recent cycle highs. The 1 month was last 10.15%, while Q4 peaks last year were closer to 14%. These trends don't suggest the market is expecting a rapid USD/JPY shift.
  • The RSI (14) is getting close to oversold conditions, now back at its lowest levels since Sep last year, see the chart below. This provides some caution around extrapolating recent trends lower in USD/JPY aggressively further, although relative US-JP yield shifts are still well down for the week (stabilizing somewhat today).

Fig 1: USD/JPY & RSI (14) 

Keep reading...Show less