Daily Market Notes
The One-Week Vol We Published at 10.00 Is 8.61. The Curve Is No Longer Inverted.
One-week dollar-yen implied volatility has fallen from the 10.00 per cent we published on Friday to 8.61 — a 1.39-point collapse, 7.3 times the one-month’s fall and 13.2 times the back end’s. The curve is no longer inverted: the one-week is now the lowest point on it and the one-month, at 9.26, is the highest, which puts the market’s remaining worry between one week and one month out, where CPI, the FOMC, the Bank of Japan and the midterms all sit. At 8.61 a one-sigma day is 86 pips and Tokyo delivered 57. We also close the window hypothesis we labelled a guess on Saturday: one publisher carries both the full-day 158.22 high and the New York-session 157.91, on two different pages.