⚠️💱Front-End Yen Vol Premiums Rise Heading Into BoJ: Cable FX Macro

**As seen in Macro Walk report 07/14/23, subscribe at cablefxm.co.uk/reports

• Volatility premiums in USD/JPY have now extended above par as the 2w tenor covers the BoJ July monetary policy meeting. The tenor relative premium is reading at 422 basis points, 2w implied vols rose 377 basis points to 12.99%, real vol was relatively steady at 8.77%

• The implied volatility section in our Macro Walk report is now showing an inverted USD/JPY structure. This means that front-end IV is pricing higher than the long-end

• Yen relative premiums ease into the 6m tenor, which is showing below par readings. The 3m tenor is showing around 110 basis points of premium, the 1m tenor reads 236 basis points

• We have recently seen subdued volatility in FX crosses, implied volatility has a strong seasonal underperformance pattern in July