The 73 Per Cent Held and the One Reachable Strike Gave Back 16 Pips. Neither Was the Day's Move.
Yesterday this desk published that 73.01 per cent of a $4.446bn dollar-yen option board sat at prices nothing visible would reach, and that 158.00 was the only strike where flow should be more than noise.
Both halves score. The day ran 157.84 to 158.39, 55.0 pips: 156.50 finished 134.0 pips below the low, 159.50 finished 111.0 above the high, 160.25 finished 186.0 above it, and $3.246bn expired unreached - 73.01 per cent, to the decimal. The 158.00 strike was reached, by 16.0 pips at about 12:10 UTC, and the pair closed back above it at 158.12 to 158.18. So the reachability test passed and bought nothing: 16 pips is 29.1 per cent of the day's range and it reverted, which means a binary rule fired correctly on a quantity that is not binary. The harder finding is the window. The low was set an hour and fifty minutes before the 14:00 cut as the ten-year fell to the 5.07 to 5.08 area, and the day's other high came four hours and forty minutes after it, on a wire report of Gulf embassy evacuations that the State Department then narrowed to Saudi Arabia alone. The day's two highs sit eighteen hours and four pips apart, both about 111 pips under the 159.50 strike. Both catalysts were outside the expiry window, one on each side. The suggestion is that a board with its mass two to three session ranges away belongs in a schedule as a veto, not a trigger.