Investors tap $/ ¥ calls as pair moves higher

By Beth Shah
02 Apr 2014

Investors have been buying short-dated calls on the US dollar against the Japanese yen in the current low volatility environment. There has also been demand for longer-dated risk reversals in the currency pair.

The short-dated $ calls have strikes around ¥104 and ¥105 with expirations throughout this week and next week in order to cover the Bank of Japan meeting. “It feels like people are a bit short optionality up there and are now looking to cover these shorts while vols ...

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