Berita FX

The Month-End Fix Is Two Hours After the Option Cut Today. On Monday It Is One.

Today is the last business day of October, so the 16:00 UTC London fix carries month-end rebalancing — and the 10am New York option cut is at 14:00 UTC, two hours earlier.

Until last Friday the gap was one hour and from Monday it is one hour again, because London left summer time on 25 October and New York leaves it on 1 November. By our own arithmetic off three sources' transition dates, the two offsets are misaligned for about three weeks in March and one week now, and this month-end falls inside the short one. A window open 13:45–14:15 UTC covers today's cut and closes an hour and three quarters before the fix; the same window on Monday covers nothing, because the cut has moved to 15:00. We also have to correct ourselves: on 28 October we wrote that the cut "is 14:00 UTC every day and the Fed announces at 18:00 every time", and both halves stop being true on Monday — the December decision announces at 19:00. On the board, a mirror gives euro strikes layered 1.1150 to 1.1200 with the larger ones nearer 1.1175, one yen strike at 158.00 and one Australian at 0.7025, and no notionals at all for the fourth consecutive time. The publisher's undated expiry address served a board bylined 29 January — yen strikes at 150.00 against a 157 spot — with October sidebars, which is the opposite of yesterday's one-day-stale board: the detectable staleness is the harmless kind. The only month-end rebalancing note we could read is August's, so we publish no signal. Three Fed speakers sit from 16:00.

Every Expiry on Today's Board Dies Before Its Own Event.

The option expiry board opened after three slots of failing to read one, and the three strikes we had been carrying unconfirmed are on it: 158.00, 157.85 and 157.00.

The structural point is less comfortable. Roughly seven billion dollars of dollar-yen notional, three and a quarter billion euros, nearly two billion pounds and almost five billion Australian dollars expire at the 14:00 UTC cut — and the Australian quarterly CPI, the RBNZ decision, the UK Budget and the Federal Reserve all come after it. Not one of the four boards expires after the event in its own currency. The yen board is the only one sitting on the market: 78.4 per cent of its 6.979 billion dollars sits in the fifty pips from 157.50 to 158.00, spot is inside that band at 157.76, the biggest strike is 2.1 billion at 157.85 nine pips up, and the session high at 157.89 has already traded four pips through it. The euro board is the opposite: all four strikes are above a 1.1142 spot, the nearest by thirty-three pips, three and a quarter billion euros the market has walked away from. A system treating "large expiries today" as one state variable gets those two wrong in opposite directions. And the Aussie board is the finding: 4.969 billion Australian dollars, with 2.1 billion at 0.6975, is extinguished ten and a half hours before a quarterly inflation print and eleven before a New Zealand decision. Whoever has a reason to defend those strikes loses it at 14:00, and the event arrives into a book that has just lost five billion dollars of gamma.

Yesterday Four Levels Sat Inside 64 Pips Above. Today the First One Is 79 Pips Away.

At 06:16 UTC yesterday this desk published four named levels inside 64 pips above spot at 157.92 - the 21-day at 158.02, the 10-day at 158.23, the Ichimoku conversion at 158.25 and the 200-day at 158.56 - with nothing below until 157.19. Twenty-four hours later the pair is at 157.03 and the nearest resistance anybody names is the conversion line at 157.82, 79.0 pips away: the first level above spot today is further than yesterday's entire four-level stack. Below there is one support at 156.06 and then a 72.0-pip void to the 17 September low at 155.34. The density moved sides. A mean-reversion short had four entries in a 54-pip band yesterday and has one today; a breakdown had a 73-pip run to support and now has 97.0 pips plus a gap. We are also retracting a dispute before publishing it: the 41.0-pip gap between one publisher's 155.65 cloud bound on 22 October and 156.06 today is probably not a vendor disagreement, because an Ichimoku lower bound is a rolling-window object that takes a new value daily. Every level needs an as-of date and the rolling ones need it most. Tokyo made a new low at 156.40, 29.0 pips through yesterday's, stopping 34.0 pips above the only support in view, then recovered 63.0 pips. The expiry board would not open on three attempts, so there is no expiry analysis and the reason is retrieval, not absence.

157.55 Was the Floor. The Low Is 157.53, and Day Fourteen Under a Yen Survives.

Dollar-yen traded through its floor in the Tokyo session and the compression survived anyway.

One publisher named support at 157.55 and a forecast range of 157.500 to 158.600 at 22:39 UTC yesterday; the session low printed 157.53, two pips through the support and three above the band's bottom, and the 157.80 print at 03:15 UTC took out Tuesday's 157.83 and Wednesday's 157.84 in one move. Yet 157.53 to 158.25 is only 72.0 pips, so this is day fourteen of sub-one-yen trading on that publisher's count. We cannot second-source the count, but we have independently measured the last three days at 78.3, 55.0 and 72.0 pips from other publishers, which corroborates the mechanism over three sessions without confirming a fourteen-day length. The structural reason the upside stalls: with spot at 157.92 there were four levels inside 64 pips above it - the 21-day at 158.02, the 10-day at 158.23, the Ichimoku conversion at 158.25 and the 200-day at 158.56 - in a market averaging 68 pips a day. And the 200-day itself cannot be stated to better than a 4-pip band: 158.56, 158.57 and about 158.60, with one publisher disagreeing with itself a day apart. The driver is a Tesla capital expenditure cut and a Gulf tanker report, not Japan, which makes a yen position this morning an equity-volatility position wearing a currency ticker. One source gives a session low 23 pips away from its own range field and we say so rather than resolving it.

73 Per Cent of Today's Yen Board Sits Outside Every Order Anyone Will Show You

Today's New York cut carries $4.446bn of dollar-yen option expiries across four strikes and 73.0 per cent of it sits at levels nothing in the visible order book reaches.

The largest notional, $1.3bn at 156.50, is 110 pips below the lowest published buy order and 160 pips below spot at 158.10, on a day whose Asian session traded 35.7 pips: reaching it needs 4.3 session ranges in two and a half hours. Only 158.00, at $1.2bn or 26.99 per cent, sits inside the 100-pip band from 157.600 to 158.600 where the day's only published order book shows any interest - and that strike is also the floor of the retail buy stack, which is the one convergence on the board worth sizing for. Gross size nearly doubled from yesterday's $2.289bn while concentration halved from 48.06 per cent to 29.24. Euro-dollar is the inverse: EUR4.1bln across 1.1195 and 1.1200, 55.01 per cent of the total, 20 to 25 pips below spot - except that one publisher calls the same two strikes EUR4.3bln, a 200 million euro gap on the board's largest block. And the cadence claim this desk published on 20 October is falsified: today's board is stamped 05:10:57 UTC on the day of its own cut, a lead of 8.82 hours against the 30.15 hours we generalised from, while a second publisher no one here had tried carried the full ladder in text at 06:00.

The Notional Was in a Picture for Eight Slots. Two Houses Published It and They Are 400 Million Apart.

For eight slots this desk wrote that option notionals were locked inside an image.

This morning two publishers put the full 16 October ladder out in plain text - and they disagree. Four of the eight shared rows match to the last million: 1.1160 at 765 million euros, 157.00 at 680 million dollars, 0.6950 at 714 million, 0.8450 at 749 million. The other four do not. Euro-dollar 1.1200 is 1.30 billion at one house and 1.1 billion at the other; 1.1225 is 2.30 billion against 1.9 billion, a gap of 400 million or 21 per cent; dollar-yen 158.00 is 925 against 825 million. One house carries a fourth euro-dollar strike at 1.1350 that the other omits. The two strikes the morning's pin argument rested on are 600 million apart, 20 per cent, and price has already walked 41 pips out of the top of the band. And the dollar-Swiss row gives the same notional to within two million at strikes 35 pips apart, which is one option and one wrong digit.

The Dollar Is at a Two-Month High. Dollar-Yen Has Delivered Half a Sigma.

The dollar index hit 101.424, its highest since 29 July — and dollar-yen has traded 52 pips all day against a one-week implied volatility pricing 104.

London added fifteen pips of new range and gave the high back. The trend is entirely in the euro and sterling legs. And the 1.1400 strike came back 8.9% larger while price walked 41 pips further away: a second null in two days.

Five Publishers, Five 200-Days, 103 Pips. Spot Spent the Morning Inside All of Them.

Five publishers put dollar-yen's 200-day moving average across a 103-pip band, spot sat inside it all morning, and then a Ministry of Finance remark took the pair to 156.51 and out the bottom.

The Only Expiry Board We Can Read Is Yesterday's. The Fed Moved Spot Past Every Strike On It.

Six slots of "no expiry board for today" and this morning we finally have one to read — yesterday's.

Its three named strikes were USD/JPY 155.00, EUR/USD 1.1595 and AUD/USD 0.7130, and the Fed has since put spot 114, 134 and 40 pips away from them. A pin is a property of distance, not of size, and a first-order policy flow flattens it. Plus: the orders index dates yesterday's article "3 hours ago" when the body says 04:59 UTC on the 16th, the fourth metadata fault we have logged on this publisher.

EUR/USD Did Thirteen Pips in Tokyo and Is Sitting on Two Expiries — London Is Where That Breaks

EUR/USD traded a thirteen-pip range in Tokyo — 1.1619 to 1.1632 — directly above New York cut expiries at 1.1615 and 1.1600, with the 100- and 200-hour moving averages at 1.1611–1.1620.

There is no European data today at all and the ECB is thirty hours away. Why four levels inside twenty-three pips is one level, and what a range system does wrong here.

A Record Far-Right Result in Germany Moved the Euro by Almost Nothing — That Is the Information

The AfD took a record 43.8% in Saxony-Anhalt on Sunday and the euro barely moved.

For a system trader the non-reaction is the useful data point — and it says something specific about what a volatility filter should have done.