USD/JPY risk reversals at 7.5-week highs, point to more JPY pain

USD/JPY three-month 25 delta risk reversals (JPY1MRR) are currently trading at -1.462; the highest level since Dec. 14. The gauge stood at -2.275 on Jan. 3.

The sharp rise from -2.275 to -1.462 indicates the JPY bullish bias or the demand for the JPY call options has weakened significantly in the last four weeks.

It appears as though investors are expecting USD/JPY to break well above 110.00 over the next three months. As of writing, the pair is trading at 109.86, having clocked a high of 110.4.

JPY1MRR

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