BUZZ-FX options wrap - Tariff fear gauge, JPY risk, mega EUR

Jan. 30 (Reuters) - This week's data and central bank event risks are passing without much impact, keeping a lid on implied volatility after last week's post-U.S. presidential inauguration decline.

However, exceptions remain as markets brace for Donald Trump's threatened trade tariffs on Canada and Mexico this weekend.

USD/CAD implied volatility and topside risk premiums have extended to fresh two-year highs, reflecting heightened concerns that the Feb. 1 tariffs could drive realized USD/CAD volatility and further CAD weakness.

Monday expiry USD/CAD implied volatility is said to have traded as high as 22.0 - a huge premium/break-even of 264 CAD pips in either direction.

USD/JPY implied volatility has retreated from Monday's spike highs but remains above last week's six-month lows. Downside versus upside strikes on 1-month expiry risk reversals are at 2025 highs of 1.3 from 0.8 last week. The latest USD/JPY setback, driven by falling global yields, is shaping price action.

Meanwhile, EUR/USD remains constrained by multiple billions of euros in option strike expiries clustered around the 1.0400 level this week.

More expiries are set for next week, making it difficult to break out of the 1.0350-1.0450 range without a fresh catalyst. Shorter-dated implied volatility is under pressure, with last week's 9.2-7.2 decline in the benchmark one-month expiry contract appearing increasingly vulnerable.

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