FX ニュース
相場を動かすイベント、時間帯ごとの地合い、マクロの流れ。相場を当てにいくのではなく、システムで回す人に向けて書いています。
The Headline Beat Both Our Consensus Figures. The Core We Barely Mentioned Was Exact.
Euro-area flash inflation printed 3.8 per cent against the 3.7 we published and the 3.6 one publisher carried — so the tenth of a point we logged as an open item was the same size as the smaller miss and half the larger. Core printed 2.5, exactly the figure we published and then ignored. Which field your news filter reads decides whether today was an event at all. Payrolls at 12:30 now has five consensus values, and the July prior the market traded on has been revised from minus 23,000 to plus 21,000 — a sign flip. One calendar's ADP cell has read as a future event for 47 hours and 43 minutes.
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.
The Base Effect Was Right to a Hundredth of a Point. What Was Left Over Was Seven Times Too Small.
Tokyo core CPI printed 2.7 per cent against a 2.3 consensus, and the base-effect decomposition this desk published eleven minutes before the release was right to a hundredth of a point on the subsidies and wrong by a factor of seven on everything else: 0.36 points of residual against the 0.05 we implied. Core-core rose a full point to 3.0, which no childcare waiver can explain. The beat bought sixteen pips. And today's payrolls forecasters are either 70,000 or 145,000 apart depending which vendor prints the range, against the eight-thousand gap we argued about for ten runs.