The material on this site is for financial institutions, professional investors and their professional advisers. It is for information only. Please read our Terms & Conditions, Privacy Policy and Cookies before using this site.

All material subject to strictly enforced copyright laws. © 2021 Euromoney, a part of the Euromoney Institutional Investor PLC.
Foreign Exchange

USD/JPY: Flob-a-dob!

There was some real fun and games in Bill and Ben (that’s dollar/yen for those readers who don’t understand rhyming slang) on Wednesday around the 3pm option expiry time. This time last year, I wrote about a huge call spread (100.00 versus 90.00 strikes) Citi executed, and sources say it was this strategy’s expiry that caused all the excitement.


From what I hear, the market convinced itself that Citi would need to buy back as much as $7 billion when the options expired; at 3pm, spot USD/JPY was hovering above 90.00 and to add to the excitement there was also talk about the expiry of a large digital. However, the bids soon disappeared and the market talk is that Citi had it off.


Sources say that the original trade was a management hedge. I teased one contact at Citi, saying that it was probably put on because of some arcane correlation between USD/JPY and the credit books. “What are the chances that the correlation has broken down and that you’ve lost more in the other book than you made in FX?” I asked. Apparently, I’m a long way off the mark and it appears Citi has got off to a flier in 2009.



You have reached premium content. Please log in to continue reading.

Read beyond the headlines with Euromoney

For over 50 years, our readers have looked to Euromoney to stay informed about the issues that matter in the international banking and financial markets. Find out more about our different levels of access below.

SUBSCRIBE ONLINE TODAY

Unlimited access to Euromoney.com and Asiamoney.com

Expert comment, long reads and in-depth analysis interviews with senior finance professionals

Access the results of our market-leading annual surveys across core financial services

Access the results of our annual awards, including the world-renowned Awards for Excellence

Your print copy of Euromoney magazine delivered monthly

£73.75 per month

Billed Annually

FREE 7 DAY TRIAL

Unlimited access to Euromoney.com and Asiamoney.com, including our top stories, long reads, expert analysis, and the results of our annual surveys and awards

Sign up to any of our newsletters, curated by our editors

LOGIN NOW

Already a user?

We use cookies to provide a personalized site experience.
By continuing to use & browse the site you agree to our Privacy Policy.
I agree