The Sleeping Market: Record Yen-Carry Shorts and the Summer the Options Aren't Pricing
Speculative yen shorts have piled up to a record. And yet the options market is pricing the summer as if almost nothing will happen. The two do not belong in the same world. The latest CFTC data, for positions as of 2 June and released on 5 June, put the net yen short held by leveraged funds (futures and options combined) at 105,136 contracts, a further 18,887 deeper on the week. Each contract is ¥12.5m, so the notional yen sold runs to roughly ¥1.3tn. Open interest rose by 89,327 contracts to 559,092. Asset managers are short as well, by 62,814 net: the crowd is not one desk. The powder is close to full. ...