外汇资讯

7.2 Billion Euros of Strikes, All Above the Market. Yesterday's Expiry Finding Was Arithmetic.

Today's New York cut carries 7.2 billion euros of optionality across four strikes and every one is above the market — the board has more than doubled overnight, from 3.35 billion, while spot has fallen further underneath it, and the largest single strike on the whole board, 2.5 billion at 1.1215, sits about ninety-five pips up. Second consecutive day the euro board has been out of reach, which is the opposite of what a rule reading "large expiries today, expect a pin" assumes. The yen board shrank 42 per cent to 4.074 billion and straddles the market, with 1.1 billion at 158.00. Two corrections of our own. We called yesterday's nearest euro strike "three and a quarter billion the market has walked away from" when the session had already traded two pips through it four hours earlier, on a range sitting in our own notes — above spot is an instant, walked away from is a session. And the structural finding we published yesterday, that no board expires after the event in its own currency, is for three of the four currencies a convention restated: the 10am New York cut is 14:00 UTC every day and the Fed announces at 18:00 every time. What survived was the Australian board, which crossed sessions. Pricing: the hold is now multi-sourced at 92.8, above 90 and about 91 per cent, closing a six-run single-sourced item. December does not agree — 84.4 against 82.5 from two readings of the same tool, where the second should be the larger, and just under 90 from a Tokyo note. Durable goods printed 1.8 against consensus figures of 1.4, 1.5, 1.6 and our own carried 1.8.

We Said Pin Rather Than Break. It Closed One Pip Above the 2.1 Billion Strike.

At 11:42 UTC yesterday this desk published that 78.4 per cent of a 6.979 billion dollar expiry board sat in the fifty pips between 157.50 and 158.00, that spot was inside it at 157.76, that the biggest strike was 2.1 billion at 157.85, and that a pin looked likelier than a break. One reader puts dollar–yen at 157.86 at 20:07 UTC — one pip above that strike — and three readers put the day's high between 157.86 and 157.89, none of them at 158.00. The pin scored, and we are refusing to make a mechanism of it, because the same reader's ladder puts the 21-day moving average at 157.89, eleven pips under the option strike, and the high stopped on it to the pip. Two explanations, one forty-seven-pip tape, nothing in it to separate them. The Australian half went exactly as described and far more dully: 4.969 billion Australian dollars of optionality was extinguished at the 14:00 cut, spot moved about seven pips, and the quarterly inflation print it might have hedged arrives ten and a half hours later into a book that no longer holds it — so a rule reading "large expiries today, reduce" was backwards. We also decline to publish a day's change for dollar–yen at all: two publishers imply prior closes 68 pips apart, and two oil readers agree on Brent to four cents while differing half a point on the move. The Tokyo fixing this run was asked for cannot exist: this slot fires an hour and fifty minutes before it is published, and a search for it returned two plausible levels dated four and five weeks ago.

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.

The $1.1bn at 159.00 Sits 40 Pips Above Today's High, and Above Every Order We Can See

The board for today's New York cut carries $1.1bn at 159.00, 48.06 per cent of the dollar-yen total, with nothing above it.

Dollar-yen made 158.603 in the Asian morning, fell to 158.028 after the record twenty-year auction, and was churning at 158.05 in early London - so the strike is 39.7 pips above the session high and the day has happened inside 57.5 pips. Three things moved against it. The publisher that headlined 159 as possible at 07:34 JST published a 157.800-159.200 forecast range at 08:14 and a 157.600-158.700 range at 16:21: the top came down 50 pips and now sits 30 pips below the strike. One retail order book at 17:00 JST has its highest sell order at 158.550, 45 pips below the largest notional expiring today, and nothing at 159 at all. And the cut minute collides with a US release: two readers put September pending home sales at 14:00 UTC and their consensus is 70 basis points apart, at zero and minus 0.7 per cent. The 21 October expiry board is not where this morning's correction said it would be - checked 223 minutes after the hypothesised publication hour, the dated URL returned nothing and a domain-restricted search finds the 13th, 16th and 20th boards but no 21st. The one-day lead is real for the instance we read twice and is not a cadence you can schedule against. We also said the auction moved 15 pips; a later reader attributes 57.5 to it, and the difference is the window, not the number.

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.

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.

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.

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.

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.

A 98%-Priced BOJ Hike Cannot Explain a 4% Yen Rally — What Tokyo Is Handing London

USD/JPY traded to 153.53 in Asia, the yen's strongest since February and about 4% in six sessions — while a BOJ hike on 18 September is priced at 97–98%.

A fully priced event cannot explain the move. Here is what is actually driving it, and what it means for size into the London open.

USD/JPY Breaks 154 Before the BOJ Even Meets — What a Pre-Priced Hike Does to Your System

USD/JPY traded below 154 in Tokyo hours, the yen's strongest level since late February, with a 25bp BOJ hike on 18 September already largely priced.

Here is what that leaves to trade, and why a five-month trend filter is the wrong tool this week.