GBP/JPY Trading 2008

Then your prediction is that implied vol is underestimated. Here are the current vol curves:

Sunday, January 13, 2008 2:30:00 PM

[LAST UPDATE - 22:30 GMT] [EUR/JPY QUANTITATIVE ANALYSIS]

! IMPLIED VOLATILITY .. HISTORIC VOLATILITY !

.LAST . Z .%RANK.YR HI .YR LOW.YR AVG LAST . Z .YR HI .YR LOW.YR AVG

1 WK 7.20 -0.4 5.3 13.00 5.30 7.53 5.78 -0.2 21.16 0.00 6.20

1 MO 7.10 -0.3 8.0 10.35 5.65 7.26 6.42 -0.2 12.59 0.00 6.70

2 MO 7.10 -0.2 8.4 9.50 5.75 7.19 9.64 0.4 10.19 0.00 8.84

3 MO 7.10 -0.2 9.9 9.00 5.85 7.16 9.07 0.4 9.22 0.00 8.26

6 MO 7.05 -0.1 9.1 8.20 6.05 7.08 7.32 0.3 7.45 0.00 6.91

1 YR ' 7.05'-0.1' 11.4' 7.85' 6.25' 7.06'' 7.40' 0.2' 7.60' 0.00' 7.16

[ IMP VS SPOT CORRELATION ] [IMP VS HIST CORRELATION] [30D IMP/HIST RATIO ]

.30 DAY 60 DAY 90 DAY.. 30 DAY 60 DAY 90 DAY .. LAST MEAN Z

1 WK 0.00 0.00 0.00 N/A N/A N/A 1.25 1.25

1 MO 0.00 N/A N/A N/A -0.38 0.12 1.11 1.11

2 MO 0.00 N/A N/A N/A N/A N/A 0.74 0.74

3 MO 0.00 N/A N/A 1.19 -2.11 N/A 0.78 0.78 0.01

'6 MO ' N/A N/A 0.00 '' -3.99 N/A -0.31 '' 0.96 0.96

30d implied vols are trading 11% over stat. 60d is trading at a discount. 30d is typically the most reliable vol-line and indicative of OTC traded vols. The long calendar trade has been unwound, hence the term-structure anomaly. Time to go long calendars on yen. IOW, I believe vol has peaked. Data from IFR Markets.

 

I believe vol has peaked, but the term structure will trade flat. Virtually no risk buying vol in calendars due to the current vol term-structure.

 

Atticus I thought you were taking an FX break? hehe...

I'll look at selling GBPJPY this week at 214.78. Look at, not definitively take the short - so not a "call" at this point.

 

Held my short over the weekend. Nice benign open. Downward pressure and momentum still in place. London open should test fridays low of 211.98.

Good week to all.

 

I've got an order to short at 214.00 so if it pops up I'll hit it for the downside.

 

I took profits on short (not posted here). Now I am going long.

Long 211.25 st 210.60 tp 213

 

Still short. Had a perfect test of 211.98 and is now resting on the bottom daily trendline exactly. Also a failed test of 213.50. Seems a bit exhausted but still decent selling. R1 is now 211.98 and R2 213.50.

 

Why long now? Seems a rally is likely but why at this point?

 

I just feel a bounce is imminent here. Maybe my timing will be a day out. But i just feel a bit more confident in going long than holding a short. But tight stops nevertheless.