GS Shah USDJPY Update 8 Sep 2026

GS Shah - USDJPY Update 8 Sep 2026 Praneet Shah · Goldman Sachs · G10 / FX Vol Trading Tue 8 Sep 2026, 8:57pm ET

How much has USDJPY moved and what has been driving it...?

• Spot move: USDJPY has traded from a high of 160.39 last week to an overnight low 152.89. Since Thursday, spot volumes have been running at approx 2x normal on primary venues.

• Drivers: BOJ turning hawkish – almost two hikes now priced into year-end; talk of increased GPIF domestic allocation (would amount to ~$100bio if max reallocation within current limits); CTA stop losses through key levels (158.50 200d MA) and option barrier related stops.

• Technicals: USDJPY broken 200d MA now fresh s/t resistance... whilst 152 then 148 next supports... RSI ~25 indicates oversold, whilst 100d MA and Fib-61.8% come in around 153.30 which could now act as short-term support.

What client flows have we seen...?

• Thursday–Friday: Overwhelming demand from HFs to buy 1w–3m downside optionality (152/148 type strikes). Directional interest to play for a move into 150. Systematic / RV stop outs in gamma (managing

derive from short skew positions). ‘This time feels different’ – very little interest to fade and play for retracement unlike July intervention episode.

• Post NFP: As spot stalled into 155, HFs used more leveraged expressions via RKOs and EKOs to play for a slower move into 148. This took skew pricing from the highs of 1m RR at 3v to 2.5v.

• This week: More interest to own options further out the curve 6m–1y outright downside puts and digitals given the vol curve inversion. Clients taking profit on some shorter-dated downside options. First signs of buying TOPSIDE on the move into 153.00 (protect cash shorts).

How have USDJPY vols reacted...?

• USDJPY vols higher led by gamma – 1m ATM 7.0v to 10.5v. Curve has inverted aggressively as HF demand mainly for 1m–3m options, whilst Japanese importer supply of vol in 1y tenors. 6m6m forward vols have been taken LOWER and now close to 3y lows. Skew also repriced higher – 1m RR 1.75v to 3.0v as market puts more premium into the left tail.