Berita FX

The 64-Pip Gap Closed Before the Instrument Meant to Price It Opened. It Was Also 80 Pips.

Seven hours ago we published a 64.4-pip weekend gap in euro-yen and said the instrument that prices its cause could not trade yet.

Both halves are now marked to market and in opposite directions. At the 05:15 snapshot euro-yen implies 177.5238 against Friday's 177.4951 - 2.9 pips above the close it gapped away from, a 67.2-pip retrace or 104.5 per cent of the gap - while the French-German spread still has no 19 October value and will not until bonds open at 07:00. Two corrections. The Monday low was 1.1181 in euro-dollar, ten pips below the indicative open we used, which puts the true gap at 80.2 pips rather than 64.4: an indicative print is not the worst fill. And the recovery decomposes 91.7 per cent euro, 8.3 per cent yen, with the yen leg pushing plus 6.7 yen-pips into the fall and plus 5.6 into the rally - the same direction twice, through a 150-pip round trip in which dollar-yen never left a 35-pip band. Also: a publisher prices the same weekend at 492 pips in euro-Canada, where cross arithmetic says 63.6, because its 1.6269 anchor implies a euro-dollar 274 pips above Friday's close. Euro net short 137,573 contracts with 38,241 added in the week to 13 October. And the arrest count we printed has a rival at 1,800 against 2,400, with the injury figure out by a factor of two.

Euro-Yen Gapped 64 Pips. The Yen Added Seven of Them, in the Other Direction.

Euro-yen opened the week 64.4 pips below Friday's close and the yen contributed none of it.

Decomposed, the euro leg is minus 71.1 yen-pips and the dollar-yen leg plus 6.7, summing to minus 64.3 - the euro leg is 110 per cent of the move and the yen leg minus 10 per cent. Dollar-yen opened six pips weaker for the yen and inside Friday's New York range of 157.69 to 158.34. The trigger was France: about 2,400 arrests, close to 1,000 police injured, a town hall burned in Limoges. But the instrument that prices French fiscal risk cannot trade in the Tokyo morning - the last published OAT-Bund spread is 137.4 basis points at the 16 October close, two readers agreeing. Three numbers attached to this weekend are published twice: the October peak spread at 146.9 in the only dated series against narrative figures of about 150 and 152; the French ten-year's near-5 per cent record as highest since 2002 at one house and 2008 at the other; and the crowd at 550,000 by the ministry against 800,000 by the union. Also: the yen long was cut 12,118 contracts to 50,207, measured 16 hours before the print meant to move it - and the arithmetic, not the label, settles the as-of date. Plus a correction, that we read Friday's expiry page and reported one of its two tables.

Three Positioning Numbers Before the 12:30 Block, All Broken Differently

Three measurements of positioning are available before today's 12:30 UTC release block and each is defective in a different way.

The yen COT baseline is finally set and second-sourced to the contract: non-commercial longs 190,368, shorts 128,043, net long 62,325, open interest 368,138 - but it is measured at the 6 October close, seven days and sixteen hours before the CPI print that doubled the October Fed probability, and tomorrow's report is measured at the 13 October close, still before it. The first snapshot containing the reaction publishes on 23 October. One of the two readers also dates the release to the Tuesday it measures, at an hour and in a timezone that do not exist. The option expiry page loaded for the first time in eight slots and gave a dollar-yen strike at 158.00 five pips from spot, but the notionals are inside an image. And a retail positioning snapshot shows cross-yen shorts cut by 33.9, 17.9 and 16.3 against 1.8 on dollar-yen, in percentages with no absolute sizes published - while the one figure that does have a denominator says turnover is a fifth below its twenty-day average.

Friday's Positioning Report Is Measured at Last Night's Close. Last Night's Close Contains None of the Day.

The CFTC measures positions at the Tuesday close and publishes on Friday.

Tuesday was 13 October - a day that ran 158.65 to 157.83, eighty-two pips with a fifty-four-pip reversal inside it, and closed at 158.33, fifty pips above its own low. Friday's 19:30 UTC report will record the yen market at the one instant when almost nothing that happened was still visible. The ten-year did the same: read at 5.20, 5.1937 and about 5.19 at midday with three different stated changes, it closed at 5.2168 - 1.68 to 2.68 basis points above all three, and 0.32 of a basis point below the last value the Federal Reserve actually measured, on 8 October. The issuer still has no observation for 9, 12 or 13 October. Plus why Friday settles nothing about the four-way yen split, and a fifth reader with the wrong month and the opposite sign.

The Yen Positioning Spread Grew 59,862 Contracts Over a Closed Weekend. We Read One More Row.

We published a 92,838-contract yen positioning spread on Friday.

It is now 152,700 - and nothing traded, because the futures market was shut all weekend. The difference is one more row: dealers, net short 84,905 contracts on the same Tuesday, on the same page as the two figures we used. Four values for one market on one day, 1.909 trillion yen apart, and the two reporting breakdowns do not sum - adding a true figure moved the discrepancy from 19,573 contracts to 104,478. Plus why the dealer row is mostly the mirror of the asset-manager row, and why three runs of looking have still not found a second reader.

Somebody Finally Printed the Notionals. The Biggest Dollar-Yen Strike Is 42 Pips Under the High.

Eight runs of asking, and a publisher finally printed the dollar-yen expiry notionals as text: 157.00 at 1.3 billion dollars, 157.20 at 780 million, 157.50 at 883 million, 158.00 at 1.6 billion, 159.00 at 722 million.

The 158.00 strike was within ten pips of spot at 05:41 UTC and finished the European session 42 pips under a 158.42 day high. The 14:00 New York cut shares its minute with a US print whose consensus three readers give as 47.5, 47.6 and 48.0, Canada lands 90 minutes earlier, and positioning prints at 19:30 with two of our predictions on it.

The 30-Year Tailed by a Tenth of a Basis Point. The Average It Was Scored Against Is the Last Six Auctions.

Yesterday's 22-billion-dollar thirty-year reopening cleared at 5.618 per cent, one tenth of a basis point above the when-issued - a genuine tail, and the same publisher that mislabelled September's stop-through has the word right this time. Dealers took 6.79 per cent against a stated average of 10.3, which the same publisher gave as 11.5 a month ago. We reconstructed that average: it is a six-auction rolling window, and it reconciles on four fields across two windows, four of them exactly. September's 2.2 per cent dealer take is now inside the benchmark it set the bar for. Overnight the pair ran 158.37 to 157.52, two pips through a published twenty-day exponential average, on an Iran headline rather than on supply.

One Tuesday, Four Yen Positions, 72,249 Contracts Apart

We carried a yen net long of 55,440 contracts for nine days as though it were the position.

Two readers of the same report for the same Tuesday put leveraged funds net short 14,161 and net short 16,809; one of them puts asset managers net long 51,961 in the same sentence. Four numbers, one Tuesday, 72,249 contracts apart - about 903 billion yen, or 5.7 billion dollars at this morning's 158.18 - and ours is the only one with no category written next to it. The two readers agree to 303 contracts on how much the position moved and disagree by 2,648 on where it is.

Our 55,400 Is Right. At the Agency It Is Two Desks Facing Opposite Ways.

Five runs of quoting a 55,400 net long, and at the agency itself it is 55,440 — non-commercial longs of 176,266 against 120,826 short, with the prior week's 71,982 matching the vendor's 72.0 thousand.

But the same release cuts the identical 360,720 of open interest a second way, and asset managers are net long 51,634 while leveraged funds are net short 14,161. Last week they moved in opposite directions, and the leveraged-funds change alone was 1.30 times the headline move. The net fall was 96.8 per cent long liquidation: 16,008 longs closed against 534 shorts opened. And it was measured on 29 September, three days before the payrolls print.

We Stopped Counting Consensus Values at Five. There Were Seven. The Print Was Below All of Them.

September payrolls printed 29,000.

The seven consensus values this desk collected ran from 84,000 to 100,000, so every one of them was too high — the closest, a named bank's 60,000, by 31,000. The miss against the 27-analyst median was 61,000, which is 0.68 times the mean absolute error we published for this release a week ago. Two harder findings: the Bureau's own trailing twelve-month average moved from 31,000 to 45,000 between consecutive releases, so the denominator in our 2.9-times-trend claim was not a fact; and the 4.2 per cent unemployment figure we read and declined to publish, under a rule we wrote the same morning, was the one that printed. July now has three vintages and has changed sign twice.

Tomorrow's Positioning Number Is Three Days Old. Its Median Weekly Change Is 95,000 Contracts.

The Commitments of Traders report due tomorrow at 19:30 UTC is measured at Tuesday's close — about seventy-three hours earlier.

But the staleness is the smaller problem. We printed the last eight releases: the net position's median week-on-week change is 95,000 contracts against an eight-week range of 284,000, with three sign flips in eight transitions. A three-day lag only matters if the quantity is stable, and this one is not. Meanwhile the dollar index took out its June year high at 101.848 and two published dollar-yen level calls were broken before the cut.

Something Bought 108 Pips of Yen This Morning. Nothing You Can Read Today Will Tell You Who.

Dollar-yen traded 156.37 to 157.45 today, a hundred and eight pips, most of it in the Tokyo morning and most of it handed back.

Three positioning measurements are available: the Ministry's, monthly and closed on 28 September, with the daily detail five weeks out; the CFTC's, as of Tuesday 29 September and released Friday at 19:30 UTC in a market that is not spot; and one broker's retail book, fresh but in percentages of itself. None of them covers this morning. And the 157.00 strike called a pin at 05:06 has been crossed in both directions.

The Yen Long Was Cut 40% in a Week — and 94% of the Cut Was Longs Leaving

Speculators cut their net long in the yen by 48,377 contracts in the week to 22 September, from 120,359 to 71,982 — a 40.2% reduction.

But 45,677 of those contracts were longs leaving and only 2,700 were shorts arriving. Two vendors read it exactly right for once. And the snapshot predates Friday's 202-pip move by three days.

The Conference Board Moved July After We Scored It. 99.5 Became 99.6.

Our 18 September read had July's leading index at 99.5.

The August release has it at 99.6 — and without that tenth, August's −0.1% does not arrive at 99.5. The revision is load-bearing, the publisher's topic page never mentions it, and today's activity index has two consensus figures and a prior that revises.

The Yen Long Is Measured on Tuesdays. Ours Was Ten Times Too Big.

Speculators are net long 120,359 yen contracts at the 88th percentile — measured at the Tuesday close on 15 September, three days before the Bank of Japan hiked and checked rates.

And two readers put the previous week at 10,796 contracts, against the 103,023 we published on 14 September. Plus: spot at 157.06 sitting on a 157.00 expiry strike whose size we still cannot read.

Speculators Flipped 103,023 Contracts and the Yen Is Net Long Going Into BOJ Week

For four sessions this desk tracked a yen short of 92,227 contracts and asked what would happen when it was squeezed.

Friday's COT answered: a 103,023-contract swing to a net long of 10,796. Tokyo opens the biggest policy week of the month at 153.74 with the crowded side of the trade gone — the Fed on Wednesday at 18:00 UTC and a fully priced Bank of Japan hike on Friday. Why a flat book changes what a priced hike can do to you.