Volatility in the dollar-yen options market declined ahead of a Japanese holiday early next week, while option selling strengthened amid expectations of range-bound trading. Risk reversals saw declines in yen call spreads across the main tenors.
Volatility in the dollar-yen options market has declined, and expectations of range-bound trading are spreading ahead of the Japanese holiday early next week. Option selling has been strengthening.
Risk reversals saw declines in yen call spreads except at the 1-year tenor, indicating reduced demand for downside hedging. The 1-year tenor was unchanged.
Specifically, 1-month VR declined from 7.22% to 7.07%, 3-month VR from 7.79% to 7.73%, and 6-month VR from 8.15% to 8.10%. 1-year VR edged down from 8.42% to 8.39%.
For risk reversals, the 1-month tenor declined from +2.10% to +2.07%, the 3-month tenor from +1.89% to +1.87%, and the 6-month tenor from +1.40% to +1.39%. The 1-year tenor was unchanged at +0.65%.