Economics
Yen Swaptions Signal 2016 Redux as Bets for BOJ Rate Cut Climb
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An esoteric metric in the rates markets is indicating that the Bank of Japan may pull off a policy surprise, just as it did three years ago.
Three-month implied volatility on two-year yen interest-rate swaps has touched its highest since February 2017, with the advance outpacing a rise in volatility on 10-year swaps, according to data compiled by Bloomberg. The so-called two-year swaptions climbed above the longer tenor in 2016, when the BOJ surprised markets with the introduction of its negative interest-rate policy.