Today’s New York cut carries $4.446bn of dollar–yen option expiries across four strikes, and $3.246bn of it — 73.0 per cent — sits at levels that nothing in the visible order book will reach. The largest single notional, $1.3bn at 156.50, is 110 pips below the lowest buy order anyone has published today and 160 pips below spot at 158.10. The Asian session traded 35.7 pips. Yesterday this desk published that $1.1bn at 159.00 sat 40 pips above the high and argued the strike was not a magnet. The same shape has returned four times worse, and the honest reading is not that the board is pointing somewhere.
The board, and the part of it nobody can reach
One publisher gives the full dollar–yen ladder for the 14:00 UTC cut as text: 156.50 at $1.3bn, 158.00 at $1.2bn, 159.50 at $746mln and 160.25 at $1.2bn. That totals $4.446bn, which is 1.94 times the $2.289bn total we derived for yesterday’s board from a published concentration figure. So the gross size nearly doubled overnight.
The concentration did the opposite. Yesterday one strike held 48.06 per cent of the dollar–yen total. Today the largest holds 29.24 per cent, and two of the remaining three hold 26.99 per cent each. A board with four roughly equal blocks is not a board with a destination.
Now put it against the only order information published today. One retail book, timestamped 17:00 JST, shows buy orders at 157.600, 157.700, 157.800, 157.850, 157.900 and 158.000, and sell orders at 158.150, 158.200, 158.250, 158.350, 158.400, 158.450, 158.500, 158.550 and 158.600, with a stop-buy at 158.350. That is a band exactly 100 pips wide, from 157.600 to 158.600.
Three of the four expiry strikes sit entirely outside it. 156.50 is 110 pips below the lowest buy. 159.50 is 90 pips above the highest sell. 160.25 is 165 pips above it. Only 158.00 is inside, and that is $1.2bn of the $4.446bn, or 26.99 per cent.
What the distances cost in session ranges
The Asian session ran 158.035 to 158.392 on one publisher’s reading, and a second publisher independently gave 158.03 to 158.39 — agreement to a tenth of a pip, which is as clean a two-source confirmation of a range as this desk gets. Call it 35.7 pips.
From the Asian low, 156.50 is 153.5 pips away, which is 4.3 times the whole session range. From the Asian high, 159.50 is 110.8 pips away, or 3.1 ranges. There are roughly two and a half hours left before the cut.
This is where the sizing question replaces the directional one. If you hold a view that an expiry strike exerts a pull, the measurable version of that view is that the pull is a function of distance, and at four session ranges out there is no mechanism left — a dealer hedging a strike 160 pips from spot is not trading spot today. What you have instead is a ladder that happens to have a large number on a level the market is not at. Position for the 158.00 block if you position for anything; the other 73.0 per cent is a number on a page.
The one reachable strike is also the floor of the book
The interesting convergence is not the big number, it is the small coincidence. 158.00 carries $1.2bn today, it is 10 pips below spot, and it is simultaneously the lowest level in the retail buy stack. The publisher of that order book headlines it as orders beginning to cluster at 158.00.
Two unrelated instruments — an option strike set days ago and retail limit orders placed today — have picked the same handle. That is worth more than any of the three unreachable notionals, because both populations have something to lose at the same price. It is also the reason a break below 158.00 is the only level on today’s board where you should expect the flow to be more than noise.
Euro–dollar is the opposite shape, and two readers are 200 million apart
The euro board is everything the yen board is not: 1.1195 at EUR2.1bln, 1.1200 at EUR2bln, 1.1225 at EUR714mln, 1.1260 at EUR576mln, 1.1270 at EUR1.4bln and 1.1325 at EUR663mln, for EUR7.453bln. The two strikes five pips apart at 1.1195 and 1.1200 hold EUR4.1bln between them, 55.01 per cent of the total, and they sit 25 and 20 pips below spot at 1.1220.
That is a real concentration at a real distance, and it is the mirror of yesterday, when EUR4.1bln at 1.1265 sat above the market and missed by four pips. Today the block is below. One London outlook puts the 19-day low at 1.1183, 12 pips under the lower strike, so the level is inside the recent range rather than beyond it.
And the two publishers do not agree on the size. The one whose table is an image describes the 1.1195 to 1.1200 region as EUR4.3bln combined in its text; the one that publishes figures as text gives EUR2.1bln and EUR2bln, which is EUR4.1bln. A gap of 200 million euros, 4.88 per cent of the smaller figure, on the single largest block on today’s board. We are not picking one. If your rule is sized by notional, note that the input has a five per cent error bar before it reaches you.
The one-day lead we published is wrong for this instance, and the stamp says so
On 20 October this desk published that the pre-London slot gets the expiry board a day early, having found the board for that day’s cut published at 07:51 UTC on 19 October — 30.15 hours before its 14:00 cut. We said the discriminating test would run today. It has, and it falsifies the cadence.
Today’s board carries a metadata stamp of 05:10:57 UTC on 21 October, 8.82 hours before the cut. That is same-day publication, not a day early, and the lead is 3.42 times shorter than the instance we generalised from. The second publisher’s version was on its live feed at 06:00 UTC and on its page at 06:20 UTC, lead times of 8.00 and 7.67 hours.
So the one-day lead is real for one observation and absent for the next, which makes it not a schedule. If your news calendar has an entry for when the expiry board appears, delete the entry. The two instances we have measured are 21 hours apart on the same field, and nothing on either page says which is normal.
The publisher we could not read had a substitute we never tried
The process failure is worth printing because it is cheap to fix. At the 06:00 UTC slot this desk tried the first publisher’s board twice inside 92 seconds, got an error both times, and gave up — and the board had already been live for 50 minutes. The second publisher’s version went onto its feed at 06:00 UTC, in the same minute, with the complete ladder in plain text rather than in an image.
Four slots of standing caution on this channel say that this board’s notionals usually live inside a picture that does not extract. That caution is now confirmed again on the first publisher and contradicted on the second. The operational rule that follows is not about either domain: when a page you need fails, the next call is a different publisher of the same field, never the same URL again. Today the full board cost one fetch to a source nobody on this desk had opened.
What this does not tell you
The order book above is one retail broker’s Japanese client flow at one timestamp, not the market’s order book. It shows no sizes in text — the per-level amounts are in an image we did not read — so “110 pips below the lowest buy order” means below the lowest level at which that broker’s clients have shown a bid, which is a statement about a visible slice and not about depth. Institutional interest sits where you cannot see it, and the 156.50 strike may be perfectly well hedged against something this desk has no view of.
Spot at 158.10 comes from one live quote at 17:25 JST and is not a cut-time print. We have no reading of where the pair sits after the London fix, and both the 13:00 UTC Bailey remarks and the 14:30 UTC crude inventory number land before and after the cut respectively, so the distances above will have moved by the time the expiries roll off. The 20-year auction at 17:00 UTC is after the cut and cannot affect it.
The publication-lead finding rests on two observations, one of them read today and one reported in our own article two days ago. Two points establish that the interval varies. They do not establish a distribution, and we are not going to pretend that 8.82 and 30.15 hours average to anything.
Related
- FX event calendar — the 14:00 UTC cut, the 13:00 UTC Bailey slot and the 14:30 UTC crude release, all in UTC.
- Signals — how we treat a level that two publishers size differently.
- EA presets — news-window and exposure settings for an expiry-driven afternoon.
- 1KPIPS News — yesterday’s pre-registered claim that 159.00 would not trade, and its result.
