MyDVICE

- LETTER & VIEWS by NEV R. AGN

USDJPY chart from around 1994 to present

13 June 2020

Disclaimer:  it has been a long time since I searched for current at the money implied volatility prices and 25 delat risk reversals.  If my numbers are wrong (I got them from a bank’s website) then please do send me a note to correct my ignorance.

Well Suited No. 1

FX NUMBER ONE

1994 was the first year I became a trader (or more specifically a junior trader).  Lately I have reconsidered my use of the term “trader” to describe what I did.  I did not feel like I was trading anything (a topic for another day).

Points for further discussion:

1.  The low to high range of the chart below is (ish) 76 to 145.  Close on 12 June 2020 is about 107.30 (about 3.50 dollars below the middle of that range, which in my view is pretty much the middle of the 26 year chart)

2. 12 June 2020 price for one week USDJPY implied volatility is around 8%.  One month to one year implied volatility is pretty much 7.30% through the run.

3.  Finally, 12 June 2020 prices for USDJPY 25 delta risk reversals are (all favouring the puts): 1 week = 1.5; 1 month = 1.9; 3 months = 2.8; 6 months = 3.15; 9 months = 3.15; 1 year = 3.2 (-0.27).

Initial thoughts:  Point 3 on the risk reversals…WHAT?!?  The bias in favour of puts is crazy big!  I have to digest this and discuss further on my next post.

Well Suited No. 1

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