Volatility drops as BoJ intervention proves successful

Yen volatility dropped sharply as intervention by the Bank of Japan (BoJ) last Wednesday (September 15) proved successful, leaving the dollar/yen range-bound into the end of the week.

One-month options prices fell from highs of 12.38 on Tuesday to 10.75 by Friday, as the yen traded between 85.23 and 85.77 versus the dollar. On Wednesday, the BoJ broke a six-year hiatus from entering the currency markets, selling between ¥1.76 and ¥1.86 trillion into the market as the yen breached ¥83 – a 15-year