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.