Surge in Yen Option Volatility Shows Markets Blindsided by Jump
- Two-week dollar-yen implied volatility touches four-month high
- That measure includes next BOJ policy decision on Dec. 19
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Currency traders were caught off guard by the Bank of Japan this week and nothing shows that more clearly than the yen’s implied volatility.
A measure of expected moves in the dollar against the yen over the next two weeks, which includes the BOJ policy decision on Dec. 19, shot to a more-than-four-month high. Option traders sprung to life to factor in the size of the currency pair’s swings on Thursday that showed a drop of as much as 3.8% at one point.