One-week dollar-yen volatility fell to 5.70%. In the London market, the pair continued to trade in a range from the upper ¥159s to the ¥160s, while hedging demand ahead of this week's US jobs report had not been generated.
The currency options volatility indicator shows one-week volatility at a low 5.70% for major currency pairs, including dollar-yen. Volatility for other currency pairs is also shown at one-month, three-month, six-month and one-year tenors, with the structure remaining normal.
As of the Tokyo afternoon session, dollar-yen was trading in a narrow range from the upper ¥159s to the ¥160s, and volatility had fallen further in the early London session. In the spot market, hedging demand ahead of this week's US jobs report had not been particularly strong.
The volatility term structure rises from 7.04% at one month to 8.38% at one year, but remains within the normal range. This suggests that volatility in major currencies is expected to remain within a defined range.