In the dollar-yen options market, yen calls were bought in short-dated tenors amid risk aversion, while from the three-month tenor onward, buying of yen calls was notably strong, resulting in mixed overall movements.
Short-dated volatility showed an upward trend, with the one-month tenor moving from 7.23% to 7.47% and the three-month tenor from 7.78% to 7.72%. The six-month tenor moved from 7.92% to 7.94%, a minor change. The one-year tenor held at 8.32%.
Risk reversals remained in positive territory for both the one-month and three-month tenors, but the figures differed by tenor, at +1.90% for one month, +1.47% for three months, +0.79% for six months and +0.11% for one year.
Overall, there were instances in which buying of yen calls strengthened relatively in the short term, while from the three-month tenor onward there were also instances in which buying of yen calls gathered pace. Risk reversals therefore moved unevenly across tenors.
The data indicate fluctuations in supply and demand across the short-, medium- and long-term segments of the dollar-yen options market, making it necessary to monitor developments in volatility and risk reversals across each tenor for future market reactions.