One-week implied volatility for USD/JPY climbed 0.98 volatility points to 8.85, with this options tenor now encompassing the event risk posed by the US employment data due on October 2.
Based on the current USD/JPY level of 158.65, this reading implies a 78% probability that the exchange rate will trade within a range of 156.50 to 160.64 over the coming week.
As the spot rate edges closer to a potential intervention zone, the premium for options hedging downside risk in USD/JPY has remained stable; one-week 25-delta puts command a 2.34 volatility point premium over calls.
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