ganjatrader(getstar)
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17 марта 2013, 21:25

USD/JPY.Опционы

Yen: The 3-month implied yen volatility is generally flat at its 4-week average near 12%. Implied vol was near 7% when the Japanese elections were announced in mid-November. The risk-reversals are considerably more interesting. Recall that traditionally, Japanese corporates are repatriating dollar proceeds from exports and typically are dollar put/yen call buyers
However,beginning in early 2012, the dollar calls began going for a premium over puts. At the end of last year, as Abe rhetoric was in full bloom, the dollar call premium rose to 1.5%, which is the highest in over a decade. This makes intuitive sense, like the with the euro, the options market was a parallel expression of what has happening in spot.
This has changed. For the first time since early 2012, the dollar puts began trading at a premium to dollar calls yesterday and there is follow through today. It seems now that the yen shorts are buying dollar puts/yen calls and selling dollar call/yen puts. This is being done ostensibly to protect the short yen spot position. That they are choosing to embrace the options market as insurance now is important. It dovetails well with our view that Abenomics is now largely discounted and the short yen story is well known and now a crowded trade. Simply put, this is an early sign that the yen shorts may be getting nervous.


С начала 2012 года коллы на доллар торговались с премией к путам.На днях расклад сил изменился, теперь путы торгуются с премией к коллам.
Короче, как я понял, если чё, шортики по йене могут превратиться в стринги-:)

Сам валюты не торгую, подумал мож кому пригодится инфа на Смарте. 
2 Комментария
  • Urets
    17 марта 2013, 21:34
    Т.е. улыбка наклон поменяла? Так что-ли?

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