Crisis Low Volatility Premium Reflects USD/JPY's Dire Situation

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Crisis Low Volatility Premium Reflects USD/JPY's Dire Situation


Short dated option implied volatility lowest in G10- apart from EUR/CHF. Vol premium for USD/JPY downside protection drops back to pre crisis lows, reflecting minimal actual volatility - USD/JPY stuck 106-108 for a month now. Lack of option demand highlights expectations that ranges will hold. USD/JPY gains currently being rejected at rising 106.70-107.30 cloud top, 2.2-bln 107.50 option expiry may yet draw Mon, resistance 107.55 - 55-dma. Mon's low 107.05, Fri/Thurs/Wed lows 106.86/78/74 support pre cloud base.


Crisis Low Volatility Premium Reflects USD/JPY's Dire Situation


Crisis Low Volatility Premium Reflects USD/JPY's Dire Situation


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