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BUZZ-FX options wrap - JPY surge, NFP risk, long gamma, CHF puts
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BUZZ-FX options wrap - JPY surge, NFP risk, long gamma, CHF puts

Risk aversion and JPY gains are driving JPY related implied volatility and its JPY call over put skew higher. USD/JPY 1-month expiry implied volatility from 11.9 to 12.9 this week and 1-month 25 delta risk reversals regaining 2.0 from 1.6 vol premium for downside strikes. JPY call buying has dominated flows, with 140.00 being a popular strike.

Implied volatility for options expiring after Friday's US jobs data is well above its realised volatility and fair value measures, highlighting the substantial event risk premium being attached to this data.

EUR/USD ranges are surprisingly limited in the mid 1.10's, with a long gamma situation playing its part. Sales of pre Friday expiries add to the congestion. Post NFP expiry options are supported pre data - 1-week little changed in the low/mid 7's, while 1-month edges to 6.15 after trading 1-billion euros at 6.275 on Tuesday.

AUD/USD 1-month implied volatility gains peak at 10.0 from 9.15 this week as the spot slide from 0.6800 meets demand before 0.6700.

USD/CHF 2-month expiry implied volatility is lagging realised volatility, while risk reversals retain a strong downside strike premium. That makes 2-month 0.8730 CHF puts/USD calls an attractive option for Societe Generale, who think CHF does reflect dovish SNB repricing.


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(Richard Pace is a Reuters market analyst. The views expressed are his own)

((Richard.Pace@Thomsonreuters.com))

Disclaimer:This article represents the opinion of the author only. It does not represent the opinion of Webull, nor should it be viewed as an indication that Webull either agrees with or confirms the truthfulness or accuracy of the information. It should not be considered as investment advice from Webull or anyone else, nor should it be used as the basis of any investment decision.
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