Nov 19 (Reuters) - The benchmark 1-month FX option expiry date is now Dec. 19 and includes both the U.S. and Japanese policy announcements, with related pricing suggesting the Bank of Japan may pose a greater FX volatility risk.

Volatility is a key yet unknown parameter of an FX option price, so dealers use implied volatility as a stand-in. Any disparity between implied and actual/realised volatility therefore creates a trading opportunity.

Changes in implied volatility when its expiry date first includes a major event, like a central bank meeting, can offer clues on how much additional realised volatility that event is expected to generate.

Since including the U.S Federal Reserve and BoJ policy announcements on Tuesday, 1-month expiry USD/JPY implied volatility jumped from 10.35 to 11.3 - a significant increase and a new post-U.S. election high. That's much greater than other USD versus major pairings that now include the U.S. Fed.

EUR/USD 1-month expiry implied volatility went from 7.5 to 7.9 when including the Fed, before easing back to 7.65. GBP/USD 1-month implied volatility went from 7.45 to 7.85 and then 7.7, while 1-month expiry AUD/USD implied volatility went from 9.7 to 10.1 before dropping back to 9.8.

The negative correlation between USD/JPY spot and implied volatility is also now at work to further support/lift implied volatility as USD/JPY comes under pressure in early London on Tuesday.

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(Richard Pace is a Reuters market analyst. The views expressed are his own)

((Richard.Pace@thomsonreuters.com))