The implied weekly volatility of USD/JPY rose 0.98 volatility points to 8.85. The option period now covers the risk of events brought about by the US employment data of October 2. Based on the current price of 158.65 USD/JPY, this level indicates a 78% probability that the exchange rate will fluctuate between 156.50 and 160.64 in the next week. As the spot exchange rate gradually approached the potential intervention range, the option premium to hedge against the downside risk of the dollar against the yen remained stable; a one-cycle 25-delta put option enjoyed a 2.34 volatility point premium compared to bullish options.
Zhitongcaijing · 2d ago
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The implied weekly volatility of USD/JPY rose 0.98 volatility points to 8.85. The option period now covers the risk of events brought about by the US employment data of October 2. Based on the current price of 158.65 USD/JPY, this level indicates a 78% probability that the exchange rate will fluctuate between 156.50 and 160.64 in the next week. As the spot exchange rate gradually approached the potential intervention range, the option premium to hedge against the downside risk of the dollar against the yen remained stable; a one-cycle 25-delta put option enjoyed a 2.34 volatility point premium compared to bullish options.
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