FXY is the CurrencyShares Japanese Yen Trust. It's designed to track the price of the Japanese Yen net of Trust expenses, which are expected to be paid from interest earned on the deposited Japanese Yen. The Trust normally trades 1,516 option contracts a day. Today over 35,000 have traded in 2.5 hours. 30,000 of those were in a massive bearish spread. The trade: Buy 10,000 Mar 105 puts for 1.70 Sell 10,000 Mar 100 Puts @ 0.40 Sell 10,000 Mar 110 Calls @ 1.20 Net outlay is 10,000*100{1.70 - 0.40 - 1.20} = $100,000 In other words, the spread cost 0.10 for each one. The Payoff: This is exactly the bet taken on a Chinese stock I blogged about a few weeks ago. You can read that blog by clicking <a href="http://livevol.blogspot.com/2009/12/china-yukai-cyd-multi-leg-bearish.html">HERE</a>. Analyzing a multi-leg trade is easiset done by separating the trades into smaller and more recognizeable trades. In this case let's look at the spread in two trades: (1) A put spread. Buy 10,000 Mar 105 puts for 1.70 Sell 10,000 Mar 100 Puts @ 0.40 Simply stated, this is a 105/100 put spread betting the underlying goes down to 100 but not much below that. (2) Sell 10,000 Mar 110 Calls @ 1.20 Short calls - nuf said. So the trade is selling updide calls @ 1.20 to pay for a put spread that costs $1.30. Bearish on the put spread, bearish on the naked call sales (note, there is no underlying so the calls are naked ignoring actual investments in the Yen). If the Yen rips, this is an "unlimited loser." You can see details, prices, charts and payoffs on my blog: http://livevol.blogspot.com/2010/01/japanese-yen-fxy-bearish-bet-on-yen.html
Someone trading that kind of size knows what they are doing. There's absolutely no reason to assume that you can infer anything other than a bearish bet here. Maybe he has an exotic side bet to cover the call side. (ie a touch bet around 90 usdjpy).