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27.08.201306:54:00UTC+00Options- 1mth Usd/jpy Vol Tests 4wk Highs

  • 1mth tests 4wk high posted last Tuesday at 13.25
  • Tested 11.2 (lows since Jan) on 16 Aug, but up last week on FOMC inclusion
  • 1mth atm is 1.75 over daily realised and 2.0 above high frequency realised
  • Gains look to have peaked, unless spot extends recent 97.76 lows
  • RR paid on spot demise - 3mth 25D RR 0.7 and 0.8 YC, 1mth level 0.65 YC
  • 3mth vol is 12.75 from 12.3 Fri and 1yr 12.5 vs 12.25



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