Noticias FX

The One-Week Vol We Published at 10.00 Is 8.61. The Curve Is No Longer Inverted.

One-week dollar-yen implied volatility has fallen from the 10.00 per cent we published on Friday to 8.61 — a 1.39-point collapse, 7.3 times the one-month’s fall and 13.2 times the back end’s.

The curve is no longer inverted: the one-week is now the lowest point on it and the one-month, at 9.26, is the highest, which puts the market’s remaining worry between one week and one month out, where CPI, the FOMC, the Bank of Japan and the midterms all sit. At 8.61 a one-sigma day is 86 pips and Tokyo delivered 57. We also close the window hypothesis we labelled a guess on Saturday: one publisher carries both the full-day 158.22 high and the New York-session 157.91, on two different pages.

The Option Market Says Ninety-One Pips Today. Tokyo's Whole Range Was Forty-Three.

One-month dollar-yen implied volatility rose from 8.86 to 9.16 per cent overnight while the three-month moved six hundredths — the front end repriced five times as far as the tenor behind it, and only the tenor containing payrolls, the Fed and the BOJ. At 9.16 the one-standard-deviation day is 91 pips, 2.12 times the whole of yesterday's Tokyo range. The 25-delta yen-call premium fell at all four tenors at the same time. And the 90,000 consensus everyone is sizing against is 2.9 times the Bureau's own trailing twelve-month average of 31,000, with a four-month mean absolute error of 89,750 — fifty jobs from the figure we published yesterday.

Nothing New Can Be Said About the ECB Until Thursday 12:15 UTC — Which Is Why EUR/USD Is Stuck

EUR/USD is pinned around 1.1625 between option expiries and two-sided stops while the ECB sits in its seven-day quiet period.

The decision lands Thursday 12:15 UTC, Lagarde at 12:45, US CPI Friday 12:30. Why today's London open is a liquidity event, not an information one.