Considering there are a grillion events next week, 1-week USDJPY vol looks cheap to me.
Nope
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Huge Week Awaits
Current Views
Buy 02FEB 148.50 USDJPY
call for 25bps off 147.65 spot
January 26, 2024
Huge week awaits
1-week options get you corporate month end, ADP, ECI, QRA, FOMC, Consumer Confidence, ISM, and month end (which should be RHS cross/JPY). Corporate month end and month end itself should both be RHS USDJPY while there is two-way risk through all the other stuff. Given how well the USD trades, continuing US exceptionalism, the flow bias to buy USDJPY and cross/JPY into month end, and the fact the BOJ is not in play… And the still low, low price of 1-week JPY vol.
1-week USDJPY volatility, daily chart back to January 2022
This is the returns for USDJPY long 7 a.m. to 11 a.m. on the last day of all months where SPX was up more than 2%. Corporate month end is Monday (always bullish USD) and this is Wednesday. Obviously there are many, many other events throughout next week but the flow picture is RHS USDJPY.
Return of USDJPY 7 a.m. to 11 a.m. on last day of months when SPX up >2%
I think even with an agnostic view on QRA and FOMC, long 1-week 148.50s is positive EV. It’s in the sidebar. And here’s the full calendar.
Final Thoughts
Inflation in Japan’s capital slows, missing BOJ target.
I am travelling for work next week so am/FX returns February 5. Hopefully with USDJPY at 151.
good luck ⇅ be nimble
I am surprised I didn’t know this until today.
