USD/JPY risk reversals rise after June’s Fed minutes indicate uncertainty about when it will increase
interest rates again.
JPY vol curve continues to steepen after South Korea and U.S. announced they’d conducted joint ballistic- missile drill in response to North Korea’s ICBM test on Wednesday.
JPY 1 mo. vol rises to 8.5700, highest level in nearly two weeks.
USD/JPY options most active so far, accounting for 23.9% of total volume, trades reported by DTCC show, with current volume near the daily average.
Puts favored over calls, as demand for downside hedging rises as spot grinds lower.
** $100m 113.90 USD call exp. July 7
** $100m 115.0 USD call exp. Aug. 3
** $200m 112.40 USD puts exp. Sept. 1
** $100m 110.00 USD puts exp. Sept. 13
Source: Bloomberg Pro Terminal
Junior Trader Stefan Panteleev
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