Use any USD/JPY abrupt rallies to build put ladders
Option strategy:
Make a note that the pair is likely to perceive implied volatility close to 9.5% of 1M ATM contracts that has increased from week's 8.5%, thus we recommend deploying short put ladder spreads that contains proportionately less number of shorts and more longs which would take care of potential slumps on this pair and significantly higher volatility times.
So, short ITM put with shorter expiry since implied volatility is inching higher which is good for option writers and buy 2 lots of ATM and OTM put with longer expiry.
Please refer below link for the nutshell showing delta risk reversals and IVs:
www.econotimes.com/F...d-put-ladders-117958
Make a note that the pair is likely to perceive implied volatility close to 9.5% of 1M ATM contracts that has increased from week's 8.5%, thus we recommend deploying short put ladder spreads that contains proportionately less number of shorts and more longs which would take care of potential slumps on this pair and significantly higher volatility times.
So, short ITM put with shorter expiry since implied volatility is inching higher which is good for option writers and buy 2 lots of ATM and OTM put with longer expiry.
Please refer below link for the nutshell showing delta risk reversals and IVs:
www.econotimes.com/F...d-put-ladders-117958