JPM JPM FX Positioning

J P M O R G A N Global Markets Strategy 04 September 2026

JPM FX Positioning Monitor JPY, NZD flows surge

• The prospect of fresh policy adjustments in Japan led to +4-sigma USD/ Global FX Strategy JPY put demand this week. On the back of media reports surrounding the BoJ Patrick R Locke AC and GPIF, we saw outsized flows in USD/JPY. Looking strictly at outright puts, ( the two-day flow between Sept 2 and Sept 3 registered as +4.2-sigma compared to five-year averages (Figure 1). D m N Y W U w Z P S b k h n o d .t/ir’fsJeax J.P. Morgan Securities LLC

• This was reminiscent of post-intervention flows from a month ago but against a backdrop of more-neutral spec positioning. We also saw 4-sigma flows in USD/JPY in the wake of joint US-Japan intervention. As we showed at the time, that cascaded into a near-record JPY short-unwind in the futures space (link). Along with this week’s JPY call flow, our aggregate measure of USD/JPY positioning has essentially moved to neutral levels (Figure 2) and D Y U O P S h u k d g n o p l/itrfJseacv

indicates spec positioning is less of a potential tailwind to JPY upside now. Figure 1: We saw extreme USD/JPY downside demand this week. Figure 2: Overall USD/JPY spec positioning does not look like a NZD downside wasn’t far behind particular risk in either direction for JPY 2d call/put options flow (Sept 2nd/3rd). Z-score Range and avg of USD/JPY positioning (futures & options) (z-score)

Source: J.P. Morgan, DTCC, Bloomberg Finance L.P. Source: J.P. Morgan, DTCC, CFTC, Bloomberg Finance L.P.

• We saw USD/JPY put strikes as far out as 140. Figure 3 shows the Y D U w T P S k u p o b ilt/rfsJeazh

distribution of USD/JPY strikes over the two-day window of Sept 2-3. The median strike is still as high as 156.25, with a standard deviation 4.2 yen. Perhaps more notably, 13.8% of strikes were set at or below 150, with the tail extending all the way down to 140 this week.

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Patrick R Locke AC Global Markets Strategy ( September 2026 JPMORGAN

Figure 3: There was a sizable fat tail to USD/JPY puts this week Figure 4: The market remains long carry in various corners, but late-July Histogram of USD/JPY puts, by strike. For Sept 2nd-3rd / early-August yen short-covering dilutes the risk of broader spillover from JPY appreciation (X): Carry (%); (Y): Net futures positioning (10Y z-score)

Source: J.P. Morgan, DTCC, Bloomberg Finance L.P. Source: J.P. Morgan, CFTC, Bloomberg Finance L.P.

• JPY appreciation, and the lack of deeply-rooted spec shorts, should limit the spillover risk into broader carry positioning. Figure 4 highlights that the futures space k n ,til/r-fsJeach m Y A T P p d b u v y g o

is still oriented around carry. JPY positioning nearly hit neutral vs average, settling back this week right where the carry trade would suggest (Figure 4). This (alongside solid global growth), arguably dilutes the risk of yen appreciation becoming a broader deleveraging event. • This resharpens the focus of carry funding on CHF. We’ve argued for funding out of CHF for pro-cyclical / pro-carry trades as yen funding was impaired even before this week’s rally. Indeed, we’ve seen evidence of more obvious rotations to CHF shorts vs JPY in the fairly recent past (Figure 5). It stands to reason that such dynamics could reassert Y p ,itl;r’fsJeach w H C T P F u b v y d o n k m

themselves again after recent JPY price action. Figure 5: The spike in CHF shorts midyear was likely partially driven by the Figure 6: We’ve seen more concentrated NZD/USD downside in options... market’s inability to confidently sell yen; after this week’s JPY NZD net options flow (calls less puts, notionals) (z-score) appreciation, that dynamic could reassert itself 1m net options flow (calls less puts, notionals) (z-score)

Source: J.P. Morgan, DTCC, Bloomberg Finance L.P. Source: J.P. Morgan, DTCC, Bloomberg Finance L.P.

• NZD/USD selling was aggressive this week post-RBNZ. While yen flows were in 2