Yesterday this desk put a claim on the record with a deadline attached: dollar–yen would not trade 159.00 before the 14:00 UTC New York option cut, with $1.1bn expiring at that strike and nothing above it on the board. The deadline has passed and the claim is correct. The pair’s high for the whole of 20 October was 158.603 in the Tokyo morning, 39.7 pips short, and it spent the rest of the day going the other way — down to 157.82 in New York, 118 pips below the strike, before closing back near 158.2. The more useful thing we learned is the number we said yesterday we could not give you.
The pre-registration scores, and the margin was never close
We said it twice, at 06:00 and again at 11:30, and partially scored it both times because the cut had not happened yet. It has now. Three publishers put the 20 October high at 158.60 or 158.603 and all three agree the figure was set in the Asian session, before London. The day’s whole range was 78.3 pips. The strike sat 39.7 pips above the top of it and the pair never spent a minute within 39 pips of the largest notional expiring against it.
That is a pre-registration working the way a pre-registration is supposed to work: stated in advance with a time limit, scored against a number somebody else published, and reported whether or not the answer flattered us. This one flattered us. The two before it did not, and that is the point of writing them down.
The 200-day was 158.57 all along, and the high went 3.3 pips through it
Yesterday’s note said something uncomfortable: that one reader described the pair as capped near its 200-day moving average, gave no value for it, and that we therefore could not tell you where the cap was. This morning the same publisher gives the number. It is about 158.57.
Put it against the high: 158.603 is 3.3 pips above the 200-day. The pair poked through the average by three pips, failed, and closed about 40 pips underneath it. If you were told yesterday that the market was capped at a level nobody would name, you now know the cap was real and that it held to within three pips on a 78-pip day. That is a materially better description of the session than the one either of us could publish twelve hours ago, and the reason it is better is that somebody finally printed the number.
The level is this morning’s resistance too, by the same reader, with today’s forecast range given as 157.500–158.900 — a 140-pip band with the 200-day sitting just about in the middle of its upper half.
Both giants on yesterday’s board expired out of the money — one by 40 pips, one by four
The dollar–yen board carried $503mln at 157.00, $686mln at 158.00 and $1.1bn at 159.00, the last of those 48.06 per cent of the pair’s total with nothing above it. The euro–dollar board’s largest clip by a distance was EUR4.1bln at 1.1265. Those notionals come from one house’s dated board, read by this desk on two earlier runs rather than this one.
A second publisher, independently, flagged the same two strikes as the day’s only ones worth attention — 1.1265 at about 35 pips from spot and 159.00 at “more than 70 pips away” when it wrote at 04:47 UTC. Its notionals were locked inside an image again, for something like the tenth consecutive instance, so it corroborates the strikes and not the sizes.
Euro–dollar’s New York high was 1.1261. Four pips. The two largest option clips on the board, in the two most liquid pairs in the market, both finished the day unreached — one missed by 39.7 pips and the other by four. Note what that does to the pin story. A strike does not attract price because it is large; a large strike that price cannot reach is simply a large strike that expires worthless, and yesterday there were two of them.
The 158.00 strike cannot be scored, and we are not going to pretend it can
The work order asked whether the $686mln at 158.00 expired in or out. We cannot answer it. The cut is 14:00 UTC, which is 23:00 in Tokyo, and no reader in this sweep publishes a print for that minute. What we have is the New York range, 157.82 to 158.25 on two publishers, and the timing of the low: just after 23:30 JST, half an hour after the cut, on the reader that timestamps it.
So at the cut the pair was somewhere inside a 43-pip bracket that straddles 158.00, and it broke below the strike within the following thirty minutes. That is genuinely all that the available readings support. A desk that wanted a tidier answer would pick the side that matched its story; the honest version is that a strike sitting inside your measurement error is not scoreable, and the measurement error here is the half hour between the cut and the first level anybody timestamps.
Three publishers, three closes, ten pips apart — and it is the same lesson as yesterday
One reader closes dollar–yen at 158.17, down about 33 pips from a previous New York close of 158.50. Another gives about 158.266. A third has the pair rebounding to about 158.27 around 05:00 JST, which is roughly where the second one closes it. The spread is about ten pips and the cause is not disagreement about price — it is disagreement about which minute is the close.
Yesterday this desk spent a section distinguishing a measurement from an attribution, after a 15-pip figure of ours met a 57.5-pip figure of somebody else’s. This is the same shape in miniature. Ten pips of spread on a closing price, from three houses watching the same tape, is a reminder that “the close” is a convention rather than an observation. If your system reconciles against a daily close, it reconciles against whichever convention your data vendor happens to use.
What Tokyo is setting up, and the one scheduled thing in it
The pair opens this morning in the low 158s with two readers describing the session ahead as calm and range-bound and both expecting the 158 area to hold the day. The sell-off that produced 157.82 was not a Japanese story at all: reports that a United States–Iran agreement to end the war was near sent crude sharply lower, took American long yields down with it, and started broad dollar selling — and then a denial that any deal was close reversed most of it. Crude moved enough to drive the whole thing and we are not going to quote a level for it, because nothing in this sweep gives one with its contract month attached, and this desk has been caught by exactly that gap on a roll week.
Fifty minutes after this note, Japan publishes September trade statistics at 23:50 UTC. One aggregator has the consensus at about minus 0.26 trillion yen against a previous reading of minus 0.84 trillion — an improvement of 0.58 trillion if it lands, on a single reader. After that the Tokyo session has nothing of its own: UK inflation at 06:00 UTC, Bank Indonesia at 07:20, American oil inventories at 14:30, and a twenty-year Treasury auction at 17:00. For a yen trader the honest read is that today’s schedule is somebody else’s, and the level that mattered yesterday is a 158.57 average that now, at last, has a number on it.
What this does not tell you
It does not tell you where spot was at 14:00 UTC, and therefore does not settle the 158.00 strike — see above, and treat any confident claim about that expiry with suspicion.
It does not establish that the 200-day average caused anything. We have a value of about 158.57 from one publisher, a high of 158.603, and a close roughly 40 pips below. Three pips of overshoot on a single day is consistent with a real cap and equally consistent with coincidence, and one reader quoting a moving average is not a second reader confirming its value.
The notionals in the third section are from a board this desk read on earlier runs and did not re-read today, and the second publisher that corroborates those strikes does not corroborate the sizes. The day’s high, low and close each come from publishers whose conventions differ by up to ten pips. And the Japanese trade consensus is one aggregator, labelled by release date, with no issuing-agency figure behind it.
We also cannot tell you why crude moved as far as it did, only what was reported and then denied. A price move whose cause is a headline and a retraction of the same headline is a move you can describe and not one you can forecast from.
Related
- FX events calendar — the scheduled releases behind every level in this note, in UTC.
- Signals — how we frame exposure around a cut rather than a direction.
- EA presets — window and filter settings for thin Tokyo sessions.
- The $1.1bn at 159.00 Sits 40 Pips Above Today’s High — the claim this note scores.
- Dollar–Yen Topped at 158.55 on Oil That Rose 2.2 Per Cent and Fell 0.5 Per Cent — why we will not quote a crude level without its contract month.
