Daily Market Notes
The Option Market Says Ninety-One Pips Today. Tokyo's Whole Range Was Forty-Three.
One-month dollar-yen implied volatility rose from 8.86 to 9.16 per cent overnight while the three-month moved six hundredths — the front end repriced five times as far as the tenor behind it, and only the tenor containing payrolls, the Fed and the BOJ. At 9.16 the one-standard-deviation day is 91 pips, 2.12 times the whole of yesterday's Tokyo range. The 25-delta yen-call premium fell at all four tenors at the same time. And the 90,000 consensus everyone is sizing against is 2.9 times the Bureau's own trailing twelve-month average of 31,000, with a four-month mean absolute error of 89,750 — fifty jobs from the figure we published yesterday.