JPY Vulnerability Amplified by CFTC Record Longs - Scotiabank
JPY Vulnerability Amplified by CFTC Record Longs - Scotiabank
Analysts at Scotiabank explained that JPY is outperforming as it
attempts to retrace a slight portion of Friday’s impressive 2.0%
decline—its greatest one day drop since the BoJ’s surprise easing from
October 2014.
Key Quotes:
"Central bank risk will dominate this week’s movement in JPY as we look to Wednesday’s FOMC and Friday’s BoJ."
"Last
week’s rumors pressured JPY as market participants considered the risk
of further interest rate cuts from the BoJ along with the potential for
negative interest rate loans to banks."
"JPY’s vulnerability is amplified by record long positioning in terms of CFTC contracts."
"Short-term
measures of implied JPY volatility are elevated, and one week risk
reversals have shifted in an atypical manner to suggest demand for
protection against JPY weakness. Longer-term risk reversals hint to a
moderation in demand for protection against JPY strength."
