⚠️💱Euro, Yen Volatility Diverges Across The Structure: Cable FX Macro
- Rosbel Durán
- Jul 8
- 1 min read
The chart below illustrates the volatility structures for the euro (green) and the yen (blue). The curves are now projecting divergent signals, with the euro vol structure being inverted, while medium-term yen vols exceed the front-end.
EUR/USD is pulling back after testing a new cycle high, indicating that options are concentrated on spot and short-term trading at these levels. The yen curve is focused on August trade events, and we remind you that the BoJ meets on July 31.
Risk reversals in the 1-month tenor are flat for the euro, after previously showing premiums for calls over puts last week. The premium for bullish yen bets has also diminished over the past few sessions, now standing at 84.5bps for calls over puts.
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