For the last few weeks, the 12-month ATM call implied volatility of MUFG (TSE 8306) has been trending around 30-35% (according to Bloomberg). This is by far the highest of the major Japanese banks by about 10%. As a proxy for risk expectations, it ranks similarly to Barclays, Credit Suisse, BNP etc which I would have rated as much more risky. GARCH and historical volatility for MUFG are about 10-15% lower, at a level similar to the other Japanese banks.
Why would there be such a large discrepancy for MUFG and what does that imply about its risk profile? Is it a sensible metric to use for volatility and for risk expectations or is some market activity distorting it?