7 Sep 2015
Strong risk aversion in Tokyo, Yen goes bet off the bat
FXStreet (Bali) - Risk aversion continues to dominate in early Tokyo, with the Nikkei 225 down more than 1.5%, while the S&P 500 futures trade +0.08, well off highs.
JPY, EUR on the rise as risk aversion stays
AUD/USD has taken a hit off 0.6945 session highs now trading at 0.6928, below 0.6935 resistance. USD/JPY has seen a sharp reversal off 119.30, currently approaching 119.00/0.5 support. AUD/JPY, the best barometer for true risk conditions, was sold-off from 82.85 highs to currently exchange hands at 82.45. Surprisingly, EUR/JPY, despite Draghi's hint at a potential ECB QE expansion, is higher at 132.90, with 133.00/133.15 the next key resistance.
Options/CoT reports suggest Yen highly in demand
Implied volatility in the USD/JPY Sept options contract 11.31% higher vs last Friday's, and thats after US NFP out of the way... with 25 delta RR showing puts being paid over 2 figures above the calls, which doesn't bode well for a potential recovery of risk.
Meanwhile, the CoT report showed a major unwind of Yen shorts on risk aversion. ANZ notes: "The two largest positioning changes occurred in JPY and GBP. Short JPY positions have been reduced by USD3.3bn to USD5.1bn (see Figure 6 in PDF). The Japanese yen has typically gained during bouts of financial market volatility, and this time is no different. The reduction in JPY short positions have helped the yen gain against the USD."
JPY, EUR on the rise as risk aversion stays
AUD/USD has taken a hit off 0.6945 session highs now trading at 0.6928, below 0.6935 resistance. USD/JPY has seen a sharp reversal off 119.30, currently approaching 119.00/0.5 support. AUD/JPY, the best barometer for true risk conditions, was sold-off from 82.85 highs to currently exchange hands at 82.45. Surprisingly, EUR/JPY, despite Draghi's hint at a potential ECB QE expansion, is higher at 132.90, with 133.00/133.15 the next key resistance.
Options/CoT reports suggest Yen highly in demand
Implied volatility in the USD/JPY Sept options contract 11.31% higher vs last Friday's, and thats after US NFP out of the way... with 25 delta RR showing puts being paid over 2 figures above the calls, which doesn't bode well for a potential recovery of risk.
Meanwhile, the CoT report showed a major unwind of Yen shorts on risk aversion. ANZ notes: "The two largest positioning changes occurred in JPY and GBP. Short JPY positions have been reduced by USD3.3bn to USD5.1bn (see Figure 6 in PDF). The Japanese yen has typically gained during bouts of financial market volatility, and this time is no different. The reduction in JPY short positions have helped the yen gain against the USD."