Volatilities implied by one-month at-the-money USD/JPY options are steady at 7.45%/7.75% from 7.30%/7.70% late Wednesday in New York, and lower from 7.65%/8.05% in Tokyo Wednesday, amid a stable spot. But downside appears limited as vols are already quite low, says an options dealer at a major Japanese bank. Among deals eyed by dealers, one participant buys a six-month USD-call/JPY-put options contract with a strike of 80.00 at an implied vol of 10.20% and a notional value of $50 million, while selling a six-month at-the-money straddle with an implied vol of 9.90% and a notional value of $50 million. Further deals include: a one-year at-the-money straddle is sold at an implied vol of 11.30% and a notional value of $30 million; a USD-call/JPY-put options contract to expire Jan. 13 in New York at a strike of 77.75 is bought with an implied vol of 8.50% and a notional value of $30 million; and a one-week USD-put/JPY-call options contract at a strike of 76.30 is sold with an implied volatility of 6.50% and a notional value of $30 million.
EasyForexNews Research Team