USD/JPY

USD JPY

London, December 01. Vols higher across the board today, amid a back drop of stock market weakness and fresh USD and JPY strength. Weak Chinese PMI appeared to prompt the initial stock market weakness, with USD/JPY already under pressure on the negative Nikkei close.

The pair through 95.00 early on and eventually basing 93.51, where it ran in to strong support. Vols higher across the curve - 1 month atmf paid 22.0 from 19.75 Friday and 1 year at 15.25 from 14.75 pre weekend. Risk reversals met renewed demand - 2 month 25 delta paid 9.2-9.25, 3 month 9.4, 9 month at 9.35 and 1 year at 9.4 (traded 400mln a leg). 7 year atmf lifted 12.7 early on and 10 year at 12.3. Vols in EUR/JPY also paid up amid the spot break sub 120.00 to low 118"s. Vols in EUR/USD saw steady demand throughout - 1 month atmf marked out to 23.5 from 22.5 and a 30 Dec (day short 1 month) 1.2000 was paid on fair size at 25.5 as spot slipped under 1.2600. Front end risk reversals back over 1.0 EUR puts. Spot Cable lost its 1.5000 handle and later lost 1.4900, lifting vols along the curve. Vols along the EUR/GBP curve off lows amid related demand - 1 month atmf gaining over 1.0 vol to trade through 17.0. Fresh demand for EUR/CHF vols out of the blocks today with spot back on to a 1.5200 handle from 1.55 late last week. 1 month atmf tested sub 9.0 Friday and was 1.0 higher today. 3 month paid 8.5-9.0 and 1yr back around 8.0. Risk reversals also found renewed support. Gamma generally bid across the board ahead of the CB rate decisions due this week from RBA, RBNZ, ECB, MPC.