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. 

 

 

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