Wednesday, 16 November 2011

Yen continues to strengthen

In the volatile overnight markets we were filled again at 77.14, with a nice wide stop to prevent a repeat of Tuesday's misfortunes. I have tightened in the stops for today's session and the market has come off nicely.

To recap we are short USDJPY in decent size with a TP @ 76.10 for around 4% NAV and the stop is about 2% NAV in the red.
Here is the motivation, remembering we now expect any intervention at 76 worst-case-scenario. Due to BoJ's losses on this trade (in the $100s of billions)
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