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USD/JPY risk reversals: Recent drop in spot has revived interest in JPY calls
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  • USD/JPY risk reversals show increased demand for JPY calls. 

The USD/JPY one-month 25 delta risk reversals (JPY1MRR) are being paid at 1.45 JPY calls vs. 1.13 JPY calls.

The rise in the implied volatility premium for JPY calls (buy Yen) indicates the recent drop in the USD/JPY from 107.29 to 105.80 has revived interest in Yen bullish bets (calls). It also indicates the investors see scope for a further drop in the USD/JPY pair, possibly below 105.00 (major psychological support).

JPY1MRR

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