“The currency markets have been at the forefront of the recent volatility, and today’s unusual option volume in one currency fund is looking for new highs in the yen. The Rydex CurrencyShares Japanese Yen ETF (NYSE:FXY) exchange-traded fund is up fractionally today at $109.004 after climbing off the lows of the day. The inverse correlation between this fund and the S&P 500 has been very high over the last six months (see SPX as purple line on chart). The FXY is up from below $105 at the beginning of the month, including a spike up above $112,” Chris McKhann Reports From Options Monster.

McKhann goes on to say, “The average options volume in the FXY is 2000 contracts, but almost 18,000 trade already today, almost all of them calls involved in one strategy. A trader bought 8,709 of the January 110 calls for $4.40. At the same time, they sold 8,709 of the January 125 calls for $1. The previous open interest at both strikes was less than 300.”

“This call spread is looking for the FXY to be at significant new highs. The trader has spent $3.40, which means that the break-even point on the trade is $113.4. If the FXY is above that at expiration, the trade will have a profit. But the maximum profit would come with the FXY above $125. That would make the trade worth $11.6,”  McKhann Reports.

Here are some more details we put together on the Rydex CurrencyShares Japanese ETF (NYSE:FXY) including a snapshot of the options activity listed.

CurrencyShares Japanese Yen ETF (NYSE:FXY)

CurrencyShares Japanese Yen will track the price of the Japanese yen, and trade under the ticker symbol FXY.

ABOUT THE JAPANESE YEN
The Japanese yen is the national currency of Japan and the currency of the accounts of the Bank of Japan, the Japanese central bank. As of April 2007, average daily turnover of the Japanese yen in the foreign exchange market is the third-most-traded currency in the world, accounting for approximately 17% of global foreign exchange transactions. The USD/-Japanese yen pair is the second-most-traded currency pair, accounting for approximately 13% of the global foreign exchange transactions.

Strike Symbol Last Chg Bid Ask Vol Open Int 100.00 FXY110122C00100000 10.00 0.00 9.60 11.00 0 175 105.00 FXY110122C00105000 7.00 0.00 6.40 7.20 6 22 110.00 FXY110122C00110000 4.40 1.10 3.90 4.80 8,710 47 115.00 FXY110122C00115000 4.30 0.00 2.35 3.20 3 13 120.00 FXY110122C00120000 1.95 0.75 1.25 2.30 30 109 125.00 FXY110122C00125000 1.00 0.60 0.75 1.50 8,740 225 130.00 FXY110122C00130000 0.95 0.20 0.40 1.30 20 151 135.00 FXY110122C00135000 0.65 0.20 0.15 1.00 20 110 140.00 FXY110122C00140000 0.45 0.15 0.25 0.75 20 75 145.00 FXY110122C00145000 0.30 0.10 0.30 0.55 20 30

NYSE:FXY