Volatilities implied by one-month at-the-money USD/JPY options are higher at 9.60%/9.90%, from 9.30%/9.80% late Friday in New York; interest for short-dated options are strong with the market jittery over possible FX intervention by the Japan MOF, says an options dealer at a major Japanese bank. The USD/JPY fell to as low as 77.65 Friday after a weaker-than-expected U.S. jobs report, raising concerns that Japanese authorities could intervene to weaken the JPY. "Volatilities may move at a higher level amid the high alert," he adds. The USD/JPY is last at 78.15.
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