The policy changes in Japan are still one of the most exciting stories around, and in tonight’s presentation I’ll look at how option markets have reacted to the huge move in USD/JPY:
USD/JPY, 2012-2012. Source: FRED
One of the arguments in favor of a short-term pause in the trend is that trader positioning has gone pretty quickly from relatively low to epically overcrowded. COT data from the CFTC shows that, since 2008, yen shorts have never been this large vs. total open interest.
6J non-commercial COT, % OI. Source: CFTC
Tonight is all content, no marketing: I have about 50 pages of comments and slides and my goal is to see how much we can get through, with plenty of time for questions.