Dollar/Yen Vol Rises As Greenback Tanks

  • 26 May 2003
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One-month implied volatility shot up last week to a high of 11.2% Monday from 9.65% the Wednesday before amid concerns that the Bank of Japan would allow the yen to strengthen further against the dollar. As evidence of BoJ intervention in the currency grew and the dollar eased from the JPY115 mark--a two year low--option volatility retraced to stand at 9.5% Wednesday, according to a trader in New York.

Demand for buying dollar puts/yen calls pushed up volatility, although the jump subsided dramatically after the BoJ's intervention thwarted speculative dollar selling, said the trader. The purchase of one- and three-month dollar puts/yen calls with strikes of JPY114 was a popular trade, he added. Although the dollar weakening trend is overdone in the short term there is no visible indication that it will reverse. The dollar will likely see a pause before diving an additional 2%-3% against major currencies, although movement against the yen will be largely dependant on how much the BoJ intervenes, he predicted.

Robert Lynch, foreign exchange strategist at BNP Paribas in New York, noted that while many traders have focused on the yen approaching JPY115, the most important factor is the continued weakness of the greenback. Japanese authorities are uncomfortable with yen levels against the dollar, which threatens to cramp the profitability of Japanese firms, he said. BNP predicts the yen will continue to appreciate against the dollar, reaching JPY110 by year-end.

USD/JPY Spot & One-Month Implied Volatility

  • 26 May 2003

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 356,356.29 1337 9.08%
2 JPMorgan 317,952.80 1443 8.10%
3 Bank of America Merrill Lynch 316,523.82 1098 8.06%
4 Goldman Sachs 235,165.28 784 5.99%
5 Barclays 229,116.44 888 5.84%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 34,312.86 161 6.57%
2 Deutsche Bank 34,194.98 116 6.55%
3 Bank of America Merrill Lynch 31,113.25 94 5.96%
4 BNP Paribas 27,479.75 167 5.26%
5 SG Corporate & Investment Banking 23,982.83 136 4.59%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 19,536.02 78 8.89%
2 Morgan Stanley 16,323.54 83 7.43%
3 Citi 15,750.21 93 7.17%
4 UBS 15,208.47 58 6.92%
5 Goldman Sachs 13,499.48 73 6.15%