7 Jun 2013
Flash: JPY, it unwound - Nomura
FXstreet.com (Barcelona) - Nomura Strategist Saeed Amen has been looking at history to understand yesterday's USD/JPY fall.
He begins by commenting that he recently put a focus on the recent position unwind and noted that while it does not impact his 6-9 month FX forecasts, from a trading perspective he thinks now is a time to be cautious. He writes, “We noted that the USD sell-off, was in general proportional to the size of IMM net longs.” Here he has tried to understand yesterday’s USD/JPY unwind from a quant perspective, looking at historical data. He finds that in terms of yesterday’s range between high and low, at around 4% it was significantly less than the ranges in spot seen on falls during the financial crisis in 2008 and the Asian crisis in 1998. He writes, “We found that historically following these days of falls with large ranges, spot tended to be higher after a week and also after a month. Clearly, on this occasion there is significant event risk, notably in terms of NFP and also the BOJ meeting next week.”
He begins by commenting that he recently put a focus on the recent position unwind and noted that while it does not impact his 6-9 month FX forecasts, from a trading perspective he thinks now is a time to be cautious. He writes, “We noted that the USD sell-off, was in general proportional to the size of IMM net longs.” Here he has tried to understand yesterday’s USD/JPY unwind from a quant perspective, looking at historical data. He finds that in terms of yesterday’s range between high and low, at around 4% it was significantly less than the ranges in spot seen on falls during the financial crisis in 2008 and the Asian crisis in 1998. He writes, “We found that historically following these days of falls with large ranges, spot tended to be higher after a week and also after a month. Clearly, on this occasion there is significant event risk, notably in terms of NFP and also the BOJ meeting next week.”