JPY and EUR/JPY implied volatilities have reached multi-year lows as spot markets remain range-bound. Analysts recommend long 1Y EUR/JPY volatility positions to hedge intervention and geopolitical risks.
Key Takeaways
- 1.JPY implied volatilities have fallen to multi-year lows despite repeated warnings of FX intervention from Japanese authorities.
- 2.EUR/JPY ATM volatility is exceptionally low, hitting four-year lows, and trading at a record discount to USD/JPY vol.
- 3.There is a significant disconnect between FX volatility and rates volatility; while EUR rates vol has jumped, EUR FX vol has remained compressed.
Table of Contents
- JPY vols run to the lows
- Relative value
- Vol slopes
- Volatility skew
- Gamma trading
- FX Research advanced tools
- Red Mount Analytics
- Global Markets Research contact details
- Valuation and methodology
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Authors
Alexandre Dolci
Securities
USDJPYEURJPYNOKEURUSDUSDSEK
Themes
FX Volatility CompressionCentral Bank Intervention RisksCross-Asset Volatility Divergence
Regions
GlobalAsia PacificEuropeJapanNorwayUnited States