One-month Options Gauge Rises as YEN Volatility Shifts

One-month options gauges on YEN crosses recovered on Thursday, with implied volatility to the Bank of Japan‘s July 28 policy decision rising 96 basis points to 10.69%, the highest in four weeks.

The risk reversal indicator rebounded 65 basis points to -1.46 vol, showing the most bullish sentiment on the yen since June 2.

Short-term indicators held steady, with the one-week risk index at 31 basis points, supporting downside potential as traders were in no rush to hedge against Japanese officials intervening in the cash market, although USD/JPY is now trading around the 145 mark.