FX:USDJPY   美元/日元
Yen$ Technical analysis - Bullish but fundamentally driven this week:

Key level close:

1. On the daily and weekly we closed above the 2nd strongest pivot point of recent times at 1.055 - this is very supportive as historically this is the strongest level (next to 100/101).


1. We trade above the 4wk ma and the 3m MA is acting as strong support (black line) - this is a supportive/ bullish indication but we have been below the 6m MA since the beginning of the year as the 2016 safe havens have outperformed - this indicates we are seeing a risk-recovery which concurs with initial thoughts


1. Realised Vols have also unsurprisingly come off, this is bullish but bare in mind that brexit has distorted some of the longer dated HV (still high) and caused the spike in the shorted dated HV. Relatively, Implied vols are steepening higher than HV - with 1wk, 2wk and 1m Implied vols trade at 23.84%, 19.42%, 15.28% vs HV 1wk 2wk 1m at 6.35%, 13.16%, 17.18% - so IV is greater than HV across the front end which is bearish - though imo this shouldnt be considered so as BOJ event vol premiums are likely the culprit for the curve steepening - especially at the 1wk-2wk tenors (vs realised) so this isnt necessarily bearish .

Deviation Channels/ Support levels:

1. We Trade close to the top of the 6m deviation channel at 1.0700 as we witness a recovery rally, this could be condisered bearish as we could see resistance here, but as i said i think fundamentals are more at play here than the techs. Looking at the 12m SD channel, this is more appropriate and shows us trading just above the average 12m price at 105- hence there is definitely more room for upside to 110 and we have just crossed the middle regression line implying we are entering some yearly upside deviation now, with the +2SD resistance level at 110 which is in line with the price support level at 1.09-11.


1. 25 delta Risk reversals trade bearish for $Yen, with current at -1, 1wks at -0.4 and 2wks at -0.2 and 1m at -1 - this suggest the $yen has a slight downside bias but is potentially searching for direction going into the big BOJ meeting on the 29th - investors are not committing much to a delivery or non-delivery, as the 1wks trade nearly flat at -0.4 - maybe this will change over the course of the week, but it indicates that we may see $yen trade calmly before the storm as a pose to heavy positioning before the event.

- Though 3m risk reversals trade with a clearer downside bias at -1.7 which shows the market expects $Yen to trade lower in the 3m term- likely a result of investors expecting the risk-off trend of 2016 to continue.

Option Demand:

Significant put vol demand around the 105.5 pivot point , highly likely to be investors betting on a bearish turning on the break of the level (though expiry in 2 days). Going forward we see more call demand, on Wednesday we have large 106.25 notional and thursday 107.25 notional respectively - likely buying a pre-event $yen breakout as investors usually prince in too much of a BOJ delivery.

*Check the attached posts for indepth fundamentals*

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