22 August 2016 at 9:41 GMT
Today 1 Month expiry date has rolled to Bank of Japan and FOMC, which is why 1 Month USDJPY is marked 4 vols higher today at 14.75. For reference the realized vol weekly in USDJPY is 10.75. This week has not much priced in volatility wise in majors until we get to Friday’s Yellen speech at the Jackson Hole. Note her speech is after Friday’s expiry, so have to own a Monday expiry to get the volatility from this event.. 1w EURUSD is also 1.5 vol higher today vs last Friday due to Jackson Hole and this despite the 1 week is also a UK holiday.