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?

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    $\begingroup$ Interesting, I double checked the numbers as well. It could be systemic risk being priced in however MFG and SMFG aren't too far behind in that regard. Could also be earnings are coming up as well. $\endgroup$ – pyCthon Nov 2 '16 at 18:19

Bunch of fines are due - they're also implicit in insider trading/cartel with unknown fiscal and regulatory consequences.

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