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⚠️💹USD/JPY Downside Protection Remains Within Ranges: Cable FX Macro

  • Demand for yen calls increase across the curve after the 10-year yield rose to the highest level since 2013 and the currency posts its best session to the dollar since mid-July

  • Yen rises by 0.85% to the dollar on Monday session, trades off highs after gaining more than 1.0% on AsiaPac

  • The sharpest changes in USD/JPY riskies are recorded in 1m to 6m tenors, the latter is falling by 13bps on the day.

  • However, option demand for a stronger yen remains within ranges seen in previous months. USD/JPY 6m risk reversals tick close to 1.0 vol favouring puts, this compares to a YTD average of 1.32%

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