Saxo Bank venter, at dollar-yen når op på et højere niveau. Desuden er volatiliteten meget lav, og det giver lave premier for calls og puts.
Uddrag fra Saxo Bank:
Anyone taking a look at daily or weekly bar chart of DollarYen, will see that we are in the midst of attempting a breakout higher – as we are now flirting above the critical resistance level of 110.
What is even more astonishing is that USTs are not even at recent highs (1.95 on 19 Dec) , they are sitting at c. 1.85/1.86%, with JGBs at basically 0% (same level they were ON 19 Dec) – so if we get another push higher on USTs, which is highly likely, say to 1.96 retest to 2.00 new test – it will be interesting to see just how much higher DollarYen can climb.
Its worth noting from an FX volatility perspective, we are pretty much sitting at all-time-lows on DollarYen volatility – i.e. historically the premiums for calls or puts have never been so inexpensive.
So for context (using monthly closes) the 3M ATM USDJPY vol is at 5.18, vs. an avg. 9.86 since 2003, during the GFC crisis we got to 23.31in Oct 2008 & in the back end of 2016 we got to 12.86. Over the last year the range has been 8.36 – 4.99, with an avg. of 6.30.
