USD/JPY: Slippery to the downside – Deutsche Bank

Research Team at Deutsche Bank explains that perceived market exposure was net shorter in USD/JPY as of last Friday; with shorts added to in the lower delta strikes giving rise to a mildly slippy pocket from -2% below and +2% about spot, while longs around spot have been pared.

Key Quotes

“In other yen crosses, downside shorts have flipped to longs in AUD/JPY, while shorts have been neutralized in EUR/JPY. In the dollar-bloc, USD/CAD longs have been extended in both directions ahead of the BoC rate announcement, by contrast longs have been trimmed around spot in AUD/USD and NZD/USD. Longs have been extended in GBP/USD but trimmed in EUR/GBP. In the euro crosses, longs have been added above spot in EUR/USD; and shorts have been added to the wings in the scandies.”

“In USD/MXN, shorts have been extended from -3% to -1% of spot, partially due to the presence of short-dated downside barrier options. In USD/BRL, midlongs have been slightly pared. In CEEMEA, the market appeared to be net long below spot in EUR/PLN and in both directions in EUR/HUF. Elsewhere, the market appears short below spot in USD/ZAR and around spot in USD/ILS. The Asia profile is unchanged.”