Bull Takes Billion Dollar Call Against Yen
An unidentified buyer built a USD1 billion one-month call on the U.S. dollar against the yen yesterday with an out-of-the money strike of JPY100. It caught traders’ attention as the position was built through the morning. Spot was trading at JPY95. The buyer was able to build much of the position with implied volatility below 14%, but implied vol began to climb as the notional grew.
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