Dispersion Unwind Meet Yen Carry Trade Unwind

• Japan’s Intervention Isn’t Working

• Yen As Political Instrument

• Yen-Dollar-Oil Squeeze

• BOJ Has A Fed Problem

• Yen Freefall Danger: My Prediction

• Upside Convexity Versus Downside Protection

Japan’s Intervention Isn’t Working

Japan Used Record $73.6 Billion to Support Yen in Past Month

Despite Japan’s Ministry of Finance intervening to to tune of ¥11.73 trillion in May (April 28 to May 27), they could not support their currency. And that is not a small amount, as you can see from this Bloomberg chart.

USDJPY is about to overtake 160 again, with 162 the July 2024 yen carry trade high before a volatile unwind that took VIX to 65 - a 519% advance in under a month.

The BOJ’s next policy decision is June 16 - same day as US FOMC meeting under new Fed Chair Kevin Warsh and VIX expiration oh joy. If they hike, expect volatility in yen (higher). If they don’t, expect volatility in the dollar (higher).

Either way, I am tracking a large dispersion trade unwind, but the market doesn’t see it yet.