日本央行会议前夕,日元期权处于2024年以来最高溢价水平

智通财经
Sep 04
【日本央行会议前夕,日元期权处于2024年以来最高溢价水平】交易员押注日本央行或将释放重要前瞻指引,针对下一次日本央行政策决议的日元对冲成本达到1月以来最高。周三早盘,美元兑日元两周期隐含波动率报5.97%;上周五该指标一度冲高至12.86%,为2025年6月以来第三高位。该期限期权的期限溢价达到591个基点,期权价格创下2024年11月美国大选之前以来的最高水平。日本央行将于9月18日公布决议;市场定价已计入25个基点加息预期,但核心关注点在于央行是否释放持续加息的明确信号。该两周期限同时覆盖9月16日美联储议息会议,此次会议悬念十足,市场认为美联储加息概率近乎五五开。该期限下美元兑日元风险逆转指标此前扩大至309个基点,看跌期权溢价高于看涨期权,此后这一行情动能消退。

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