Home USD/JPY risk reversals: JPY calls gain value amid trade war fears

USD/JPY risk reversals: JPY calls gain value amid trade war fears

Published date: 19 Jun. 2018 | 03:27

The USD/JPY risk reversals show implied volatility premium for JPY calls is rising.
Investors are likely seeking protection against downside in USD/JPY.

The USD/JPY one-month 25 delta risk reversals (JPY1MRR) fell to -1.35 – the highest level since June 8, representing a rise in demand for JPY calls or rise in implied volatility premium for JPY calls.

It appears as though investors are seeking protection against an increased possibility of a deeper drop in USD/JPY.

Moreover, the anti-risk JPY could rise sharply on US-China tariffs slugfest.

JPY1MRR

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