Have option markets priced in the yen trend?

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 ┬ámove 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.


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  1. The one USDJPY chart to rule them all? | Condor Options Says:

    [...] his latest Viewpoints note, Jim O’Neill explains that, despite the recent move in the yen, there is still plenty of room for more depreciation against the dollar. He attaches the following [...]

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Jared Woodard specializes in trading volatility as an asset class. With over a decade of experience trading options and other volatility products ... Read More

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