Japanese Rate Volatility Rises Above Europe’s on BOJ Uncertainty

Volatility for yen interest rates has climbed above that of euro ones for the first time in seven years amid growing uncertainty over the outlook for Bank of Japan monetary policy.

Three-month option-implied volatility for two-year yen overnight-indexed swaps, or swaptions, has risen to 41 basis points, compared with 36 for their euro counterparts, according to data compiled by Bloomberg. The yen rate was 40 basis points below the euro one at the end of last year.