USD/JPY trades at 4-month high near 111.00, risk reversals retrace JPY call bias

• USD/JPY nears 111.00 - the highest level since Jan. 23.
• The JPY calls continue to lose value.

The USD/JPY continues to rise, tracking the uptick in the US treasury yields.

As of writing, the pair is trading at 110.95 - the highest level since Jan. 23 and looks set to scale the 111.00 mark in a convincing manner.

JPY calls lose value

The one-month 25 delta risk reversals (JPY1MRR) rose to -0.625 - the highest level since January 9, representing falling implied volatility premium for JPY calls (bullish bets). Note, the risk reversals stood at -0.95 on May 8 and -2.425 on Feb. 12.

The rise in the risk reversals (drop in JPY call value) only adds credence to the USD/JPY rally.  

JPY1MRR