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 delta risk reversals. If my numbers are wrong (I got them from a bank’s website) then please do send me a note to correct any mistakes.
FX NUMBER ONE
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.
Initial thoughts: 3% points on the risk reversals (puts over)! This bias in favour of puts is crazy big! Historically USDJPY puts have mostly been in favour over calls, but this is quite the “favour”.
0 Comments