USD/JPY Vs Yield Levels and Correlations

The 2 year yield traded Monday and Tuesday 4 points from 0.7574 to 0.8028 and 0.7527 to 0.8002. The monthly range is located from 0.3376 to 0.8871. The 2 year held 2 supports at 0.6123 and 0.7497. The 2 year hit bottom support, rose and maintained its range. The daily Treasury yield rates reported 0.77 Tuesday and 0.78 Monday at its normal 7:30 am EST start time.


The 5 year yield traded Monday 7 points from 1.2916 to 1.3696 and 1.3486 to 1.3969 or 4 points. The monthly range is located from 1.0870 to 1.4927. The 5 year from 1.24 broke above 1.2898 and traded to highs at 1.3969. Daily Treasury offered a green light from Monday and Tuesday’s reported 1.37. The 5 year held its range.


The 10 year traded Monday from 1.5310 to 1.6410 or 11 points then Tuesday 1.6130 to 1.6860 or 7 points. The 10 year at 1.53 was oversold from its monthly mid point at 1.63291 and bounced to trade just prior to its resistance point at 1.72110. The monthly range is located from 4564 to 1.8095. The Treasury reported the 10 year at 1.63 Monday and 1.66 Tuesday.


The 30 year traded 1.901 to 2.0450 or 14 points Monday then 2.009 to 2.102 or 9 points. Daily Treasury reported 2.01 Monday and 2.07 Tuesday. The monthly range is located from 1.7987 to the 1 year average at 2.0261 then 2.0581 and 2.3126.The 30 year was oversold from 1.90, broke above 1.9124, 1.9692 and 2.0261 resistance to trade from 2.0261 to 2.0581 – 2.3126.


USD/JPY vs Yields


While the 2 year yield ranges from 0.3376 to 0.8871, USD/JPY correlates to 0.3376 at +16% and +19% at 0.8871. The best correlations for the 2 year and USD/JPY are found at 0.32% and 34% at the 4 and 5 year monthly averages. The 2 year fails to explain USD/JPY as correlations impart performance as a question to distance to yield points Vs USD/JPY pip moves.


For interested, on my blog at btwomey.com dating to 2015 is years of yield, interest rates and currency price concepts for many currencies and nation’s yields and interest rates.


And viewed from every possible scenario from simple averages and regression to yield crossovers, FX Points. Yields factored forward, from yield curves to yield slopes.
Every possible figure and factor in FX is located on my blog dating to 2010 and 2011. The end result was the invention in 2015 to today’s interest rate model for day trades and deployed to trade every financial instrument on the planet.


Historically as written previously, USD/JPY drivers to yields are short term yields in the vicinity from 2 to 5 years while the 10 year never factored as Correlation drivers nor suited for trade entries.


USD/JPY correlates to the 5 year yield from the 1 year at 87% and 2 year at 64% then correlations drop like a rock. The 1 year is located at 0.8146 and 2 year at 0.6904.
The 10 year yield then loses correlations to USD/JPY as the 1 and 2 year correlate at 59% and 67% then correlations drop. Those yield levels are located at 1.1545 and 1.4045. Only 50% to yield moves are explained by USD/JPY.


Many yields and yield ranges from 1 to 5 years fail to explain USD/JPY direction and performance as USD/JPY is off kilter to yields by trading at erroneous levels. The moves are quick and short term evidenced by correlations at 1 and 2 year and not to the full set of averages from 1 to 5 years. The worst performer to correlation is the yield 5 year average for all yield maturities. The 5 year should be the best performer.


The 30 year correlates to USD/JPY at 54%.


USD/JPY overall trades overbought and began overbought at weekly starts for the past 3 weeks. USD/JPY is rising despite severe overbought. A lower USD/JPY to 110.00’s and 111.00’s would not only correlate to DXY more correctly but to yields. Until USD/JPY drops then the yield /USD/JPY relations will remain off kilter to correlations.


Treasury Yields


30 year Treasury yield is priced in 32nds and priced at $312.50 for each 32nd or $3,000 per point. One basis point on a 10 year bond is $1000.


A guide


From fraction to decimal,
1/32 = 0.0313,
3/64 = 0.0469,
1/16 = 0.0625,
5/64 = 0.0781.
At 63/64 = 0.9844 then comes 1.0 as a fully traded basis point.


From Fraction to percent,


1/32 = 3.125%
3/64 = 4.687%
1/16 = 6.25%
5/64 = 7.812
63/64 = 98.437%. Then 1.0 as a fully traded basis point.

Brian Twomey

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