Guillermo
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Dollar Volatility Rises - 2008/09/22 20:18
Hi traders! Have you seen the recent volatility? Simply amazing 
Volatility implied by dollar-yen options rose on speculation a U.S. government plan to buy troubled assets and central banks' efforts to increase liquidity will fail to stem a global credit crisis.
Treasury Secretary Henry Paulson sent a plan to Congress Sept. 20 that would allow the government to buy $700 billion in mortgage-related securities and other devalued assets, according to a document obtained by Bloomberg News and confirmed by a congressional aide. Central banks in Japan and Australia added $15.7 billion to the financial system today after the three- month London interbank offered rate, the cost banks charge each other for dollar loans, rose to a seven-month high on Sept. 19.
The dollar declined to 106.59 yen at 2:58 p.m. in Tokyo from 107.45 yen late in New York on Sept. 19.
Implied volatility for dollar-yen options expiring in one month rose to 16.41 percent from 16 percent at the end of last week.
The dollar's one-month 25-delta risk-reversal rate against the yen widened to minus 3.68 percent from minus 3.64 percent on Sept. 19, indicating a greater premium for dollar puts that allow sales over dollar calls that grant the right to buy.
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