9 Oct 2017
USD/JPY option expiries this week
Reuters report says, "USD/JPY is pinned to 112.00-113.00 by long gamma/options.
- Still USD 22 Billion option expiries 112-113 this week, USD 6 billion on Thursday alone
- Recent implied vol slump another sign of a long gamma market
Option buying (long) strategies usually have long gamma exposure.