Dollar-Yen Got Within Five Pips of 160 After Two Official Warnings, and Implied Volatility Fell at Every Single Tenor
Spot printed 159.95 in the London morning, five pips under the big figure, after Tokyo had been at 159.48 on the Ministry of Finance official's warning and back at 159.84 on a Bank of Japan board member's dovish line.
Two official interventions in the conversation inside ninety minutes, price within five pips of a level the market calls defended — and implied volatility fell at every tenor the surface quotes: one week 6.91 to 6.67 per cent, one month 7.05 to 6.88, and on down to 8.24 to 8.20 at a year, with the front-end fall six times the back-end one. We give three readings of that and establish none of them. What the surface does establish is distance: at 6.67 per cent the one-day move is 67.1 pips, so 160.00 at 40 pips away is 0.60 of a deviation, an ordinary day's drift. The level that matters most politically is the one the option market finds least remarkable. We can also close two of the three gaps we printed this morning: the currency official is Vice Minister Mimura, now in two publishers' bodies, saying moves have been too fast and it is too early to forget the summer; the board member is Asada, on the same two bodies and still no issuer text. The count we will not publish is the intervention tally — one publisher has twice headlined whether this would be the third of the year, both bodies unreadable, and the two bodies we did read name exactly one episode, late July. We also correct our own field: 160.39 was in our notes as a post-intervention high from late July, and it is September's, corroborated by 159.94 being called the highest since 2 September. And our steepest-curve ordinal has now been first, third and second in twenty hours forty-three minutes, which is the argument for not publishing the ranking at all.