Why The Big Overnight Move In EURUSD? Citigroup Explains

Tyler Durden's picture


Just after 3:00 am Eastern, the EURUSD experienced a sharp large move lower, sliding by nearly 100 pips in under an hour, without what appeared to be a news catalyst (hardly that surprising in the New Illiquid Normal when one VWAP order can move risk by +/- 1%). For those curious what may have caused the sudden drop, here is one explanation from Citigroup.

Mid morning a hit to the Euro legged the whole equity market lower. Remember last night was the Eurozone finance minister meeting and the comment from Juncker afterwards on Greece was “I’m impressed by the performance of the Greek government, by the willingness of the coalition parties in Greece to undertake whatever will have to be undertaken in order to respond to our wishes,” so more positive. This meeting continues today. So why did the Euro fall? The best answer seems to be that the 10yr Spanish benchmark has changed from 5.85% Jan 2022 to the 4.8% Jan 24. As a result some systems been showing the wrong Bund/Bono spread and players spooked when the "old" spread moved out by more than 30bps. The spread is near unchanged at the moment. Yields themselves are actually unchanged also. Remember Merkel trip to Greece today.


This means that actually we should not have legged lower as we did, and maybe why we seem to bounce back currently. Into Alcoa tonight and the kick off of US earnings focus on q3 heightens.

That. Or someone just had a few yards to sell and just tested how deep the market bid truly is. Remember: it's a centrally planed market - we are all just tagging along.

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Tue, 10/09/2012 - 07:59 | 2870209 Abraxas
Abraxas's picture

Citigroup should worry about how to remain solvent and not try to justify why EURUSD went up or down. Whatever they tell me the reason is, I know it's something else.

Tue, 10/09/2012 - 08:05 | 2870222 Middle_Finger_Market
Middle_Finger_Market's picture

Coule not agree more with above, same goes for: Credit Suisse, SocGen, JPM, Barclies, GS, BofA, MS, RBS, UBS, Bundesbank....you name it its probably - to - most - likely insolvent. 

Tue, 10/09/2012 - 08:10 | 2870234 JPM Hater001
JPM Hater001's picture

I hope we all have our puts in place.  I just exended mine through to March 2013.

Smells like gas in here.  Anyone got a match, I cant see.

Tue, 10/09/2012 - 08:16 | 2870244 GetZeeGold
GetZeeGold's picture



No matches.....but I got a Bic lighter. It's all yours.


Just give me a couple seconds to get clear.


Tue, 10/09/2012 - 08:20 | 2870255 Dead Canary
Dead Canary's picture

I always smell gas

Tue, 10/09/2012 - 08:22 | 2870262 GetZeeGold
GetZeeGold's picture



Heh heh....not dead yet. You must be doing something right.


Tue, 10/09/2012 - 10:04 | 2870537 Ned Zeppelin
Ned Zeppelin's picture

He who smelt it. . . . just sayin'

Tue, 10/09/2012 - 11:48 | 2871301 French Frog
French Frog's picture

Does anyone seriously believe that Citigroup did not know that Draghi was speaking at that time?

His speech, as per the usual was leaked 10 minutes in advance and that startted the Euro sell off. Who needs Spanish Bonds analysis when you can get the ECB president's speech in advance lol

Tue, 10/09/2012 - 09:11 | 2870329 LawsofPhysics
LawsofPhysics's picture

Solvency would have to be judged by mark to market accounting.  Since "mark to fantasy" is still very much the status quo and risk is simply something that the taxpayer worries about, not private kleptocrats or banks, how in the fuck do you see this going down MFM?

Unless everyone on the other side of that trade (the 99%) demand mark to market or a margin call, nothing changes, look the fuck around you.  They are all sheep, amused by the latest "ithingy".  Long soylent green, because there is an abundance of it.

Tue, 10/09/2012 - 09:24 | 2870395 Leopold B. Scotch
Leopold B. Scotch's picture

Soy Bomb, baby! Bottoms up!

Tue, 10/09/2012 - 08:10 | 2870233 LongSoupLine
LongSoupLine's picture

with that, how can any person with a spark of common sense believe anything an insolvent "money handler" says?

Tue, 10/09/2012 - 09:12 | 2870351 LawsofPhysics
LawsofPhysics's picture

You better find out how many people actually have "common sense" first.  All I see is soylent green as far as the eye can see, with a few common sense folk running for cover.

Tue, 10/09/2012 - 07:57 | 2870210 malikai
malikai's picture

That move opened up a nice hole in things:


Tue, 10/09/2012 - 08:13 | 2870239 JPM Hater001
JPM Hater001's picture

I miss working with brokers.  They had the best toys.  Nice charts.

Tue, 10/09/2012 - 08:19 | 2870253 malikai
malikai's picture

Thanks, but I'm not a broker. Just a guy trying to fight for the revolution the only way I know how.

Tue, 10/09/2012 - 11:10 | 2871110 Lost Wages
Lost Wages's picture

On a few different occassions I have stared at your graphs and I can't quite figure out what I'm looking at. Would you mind explaining or link me to an explanation of what this type of graphing reveals? I get the prices on the left... different time frames on the top and bottom panes... but what are the significance of output & divergence? Is output based on some kind of model?

Tue, 10/09/2012 - 13:23 | 2871636 malikai
malikai's picture

Output is the model, diverg is the difference between the actual price and the model price. Everything else is visualization.

Applications briefly describes the uses of the platform: https://www.quantsig.net/#?&view=applications

Also methods describes a bit of what the platform itself is, but only lightly as it is very proprietary.

Tue, 10/09/2012 - 18:50 | 2872874 Lost Wages
Lost Wages's picture


Tue, 10/09/2012 - 08:01 | 2870218 LongSoupLine
LongSoupLine's picture

aaannnd futures go green.


jusr another horseshit corrupt day.  oh well, at least Nigel Farage is on CNBS.  Maybe he'll shove his foot up those idiot's asses.

Tue, 10/09/2012 - 08:03 | 2870221 timbo_em
timbo_em's picture

Is Perkins back in business?

Tue, 10/09/2012 - 08:30 | 2870272 GetZeeGold
GetZeeGold's picture



You must be thinking of Sambos.......damn shame really.


Tue, 10/09/2012 - 08:07 | 2870229 ptoemmes
ptoemmes's picture

“I’m impressed by the performance of the Greek government, by the willingness of the coalition parties in Greece to undertake whatever will have to be undertaken in order to respond to our wishes,” 


I want a job where I can get paid to say meaningless shit.  

I currently say plenty of meaningless shit, just don't get paid for it.

Tue, 10/09/2012 - 08:32 | 2870274 Bogdog
Bogdog's picture

I'm thinking the unwashed masses of the Greek people are not "impressed" and will be torching government offices any day now.

I'm keeping my shorts on.

Tue, 10/09/2012 - 08:47 | 2870302 caimen garou
caimen garou's picture

3:00am, is'nt that about the time the monkeys are let out for play time?

Tue, 10/09/2012 - 08:50 | 2870307 Grand Supercycle
Grand Supercycle's picture

Substantial SPX buy support & USD selling so more SPX short squeeze rallies likely.


Tue, 10/09/2012 - 09:42 | 2870413 fuu
fuu's picture

And just 10 days ago you were spamming every single thread all day with:

"IMPENDING SELL OFF. Longs please be careful. Due to recent central bank intervention and short covering spikes, these daily charts are extremely overextended and significant correction expected very soon: SPX, DOW, NASDAQ, NZDUSD, GBPUSD, AUDUSD, COPPER, CRUDE, GOLD, SILVER. [USD strength will return]"

Tue, 10/09/2012 - 09:44 | 2870463 gjp
gjp's picture

No kidding, STFU already with your inane, constant, and constantly useless TA

Tue, 10/09/2012 - 11:45 | 2871275 French Frog
French Frog's picture

and then, just over 2 hours later you say...

"Here comes the overdue Wile E. Coyote sell off."

From short squeeze rally to sell off: a good lesson in how to cover yourself both way so one of your predictions is always right...

Tue, 10/09/2012 - 08:59 | 2870318 Quinvarius
Quinvarius's picture

All this tells me is that there is a lot of gambling money out there.

Tue, 10/09/2012 - 09:09 | 2870319 Zero Govt
Zero Govt's picture

"...it's a centrally planed market - we are all just tagging along."

snip the tags and go trecking off-piste

turn around occasionally to watch the car wrecks back on the Highway to Hell through your binoculars

you can have fun with this

Tue, 10/09/2012 - 09:18 | 2870357 mvsjcl
mvsjcl's picture


Tue, 10/09/2012 - 09:28 | 2870405 gdgenius
gdgenius's picture

The drunk trader is back!!!!

Tue, 10/09/2012 - 09:41 | 2870455 adr
adr's picture

My theory is that the quarter is now over and the Euro is free to fall, because the currency fudge for US earnings isn't needed for a couple months.

It seems that there is always something that causes the euro to surge righ before the end of a quarter allowing US corporations to rebook foreign profit at higher dollar denominated terms. It happened in March and it happened in June. We even saw Euro strength in September.

This has been the source of many surprise earnings beats. Stronger foreign profits.

Tue, 10/09/2012 - 10:31 | 2870644 Rathmullan
Rathmullan's picture

Always much energy expended to rationalize downward moves, never upward moves......lalalalalala....lalala.

Tue, 10/09/2012 - 10:59 | 2871083 CrashisOptimistic
CrashisOptimistic's picture

If I had to guess, I'd say it's because Junker is the uber dove of doves in the EU and is always free with someone else's money, and this statement by him was far, FAR less then the Dutch fin min saying NEIN to Greece yesterday.

Junker should have been saying that huge progress was made and he was very confident Greece would get money and very soon, and more than they need or even want, and at 0% interest with 80 year payback.  Only that would have countered the Dutch.

Tue, 10/09/2012 - 11:17 | 2871168 Grand Supercycle
Grand Supercycle's picture


Here comes the overdue Wile E. Coyote sell off.


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