Dislikednot really just a UJ sell off. I'm seeing USD getting hammered pretty much across the board. Its annoying GU is so much stronger now and holding up the tankage.Ignored
14:05 12Mar09 DJN-DJ Forex Options: Dlr/Yen Currency Options Up Tad On Dlr Slip
DJ Forex Options: Dlr/Yen Currency Options Up Tad On Dlr Slip
1 Month Option Implied Volatilities At 0200 GMT
Tokyo New York Tokyo
Today Wednesday Wednesday
Dollar/Yen 18.00%/20.25% 17.70%/19.95% 17.15%/19.40%
Euro/Dollar 15.45%/16.95% 15.20%/16.70% 15.80%/16.20%
Euro/Yen 21.55%/24.55% 20.75%/23.75% 21.10%/24.10%
3 Month Option Implied Volatilities
Tokyo Tokyo
Today Wednesday
Dollar/Yen 16.85%/18.00% 15.90%/18.00%
The volatilities used are over-the-counter, at-the-money rates.
1-month 25 delta risk-reversals favor dollar put/yen call options by
2.90%/3.65%, compared with 2.25%/3.00% in Tokyo Thursday.
TOKYO (Dow Jones)--Dollar/yen currency options edged up in Tokyo Thursday as
the greenback's retreat to its lowest level in almost a week brought back some
demand for hedges against any further falls.
The U.S. currency slipped to a low of Y96.69, its lowest since March 6, from
Y97.27 Wednesday in New York as a slightly better-than-expected revision to
Japanese GDP prompted some players to sell the unit for yen, dealers said.
The dollar's slip "led to more desire for hedges against even lower levels,"
said a senior options dealer at a major Japanese bank.
At 0200 GMT, one-month dollar-yen at-the-money options were bid at 18.00%
compared to 17.70% Wednesday in New York.
"The market today is more focused on buying back options (used to hedge
against dollar falls) after recent unloading," the dealer added.
But dealers said as uncertainty over the currency market's short-term
direction remained strong, options prices, as measured by implied volatility,
were unlikely to head much higher.
"Dollar-yen was in the upper Y99 level recently, so there's still concern it
could target a break of Y100," the senior options dealer said. "It would have to
drop well below Y96 to soften those concerns and send options above 20%," he
added.
In a sign that some players expected the spot market to be choppy amid few
clear one-sided trading cues in the coming weeks, some players were buying
one-month dollar-yen straddle options, which profit on greater volatility, at
19.00% with a face value around $200 million, the dealer said.
{Some Profound Statement goes here}