CIBC : From our option desk

From the FXWW Chatroom: Just as the USD bulls were about to celebrate a more hawkish FED, the FOMC minutes dished out the same boring rhetoric on how each member remains divided on the timing of the next rate hike.  USD went lower immediately against their G10 counterpart and vols stays elevated especially for JPY.  USDJPY spot tested below 100 again in Asia morning and the next congestive barrier level to look out for is between 99.50 to 99.20.  JPY ATM and RRs are being slowly paid up in Asia:  1Mth JPY ATM is now 11.3 mid compare to 10.6 mid yesterday close; 3Mth 25d RR went from 1.6 vol favoring JPY CALL 2 days ago to 2.05 vol favoring JPY CALL now.  We are more neutral on owning the JPY ATM at these level but perhaps the better thing to own is the RRs.

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