The one-week implied volatility for USD/JPY has risen, as this tenor covers the U.S. nonfarm payrolls data.

One-week USD/JPY implied volatility rose 0.98 volatility points to 8.85, and this option tenor now covers the event risk from the October 2 U.S. employment data. Based on the current USD/JPY level of 158.65, this level implies a 78% probability that the exchange rate will trade within the 156.50 to 160.64 range over the next week. As the spot exchange rate gradually approaches the potential intervention range, the option premium for hedging downside risk in USD/JPY remains stable; one-week 25-delta puts command a 2.34 volatility point premium over calls.