EFTA Document EFTA01387360

Trade Ideas Buy 1y2y USDJPY FVA at 10.50% Current 2y Implied volatility is at 9.95% Rationale • The USDJPY volatility curve has flattened and reduced over the past year: Implied volatility is around 10% for maturities between ly and 7y, is historically low and carries flat. Hence USDJPY provides interesting entry points to buy forward volatility • Volatility of USDJPY long-dated forwards is extremely low, with changes in forward points often having opposite changes in spot (typical of c