Yesterday we highlighted that bears could look to break beneath 122 and, earlier today, they did just that. Risk-off has swept its way through the Asia session although was initially contained to equity markets, where investors sold them in exchange for bonds to push yields lower. However, NZD/JPY has since broken lower and AUD/JPY is coiling up nicely near its lows to suggest it too is about to break out of compression.
We can see on the matrix above that implied volatility is now higher than realised volatility across the four time-horizons measured (compare the IV range to ATR) to underscore rising tensions in currency markets. So with AUD/JPY coiling up, it could indeed be headed for a breakout.