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Nikkei Futures Tumble 800 Points As JPY Strengthens And "Beta" Soars

Tyler Durden's picture


Confirming the stocks-are-just-high-beta-FX meme, Japanese stocks in the Nikkei 225 have collapsed 800 points in the last 2 days as JPY began to strengthen against the USD (on better data bringing taper talk and potential capital outflows as hot money chases something else). Relative to the initial 4 months of Abenomics which saw a 'beta' of 2.3 NKY points per USDJPY pip; the last week's "beta" of 5 Nikkei points per 1 pip in USDJPY, the leverage is starting to get out of hand (with a correlation of 0.965).


From November to March, the Nikkei rallied from 8700 to 13500 and USDJPY from 79 to 100 (approx 2.3x beta)

That beta has done nothing but increase and this week's sell-off is peaking at 5x!!





Charts: Bloomberg


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Thu, 12/05/2013 - 15:19 | Link to Comment nope-1004
nope-1004's picture

"We will print and devalue until the market tells us otherwise."

- Abe


Thu, 12/05/2013 - 15:24 | Link to Comment dracos_ghost
dracos_ghost's picture

And by "the market, I mean me" - Abe

Thu, 12/05/2013 - 15:26 | Link to Comment Dr. Kenneth Noi...
Dr. Kenneth Noisewater's picture

Please do not worry.

Thu, 12/05/2013 - 15:53 | Link to Comment Kaiser Sousa
Kaiser Sousa's picture

no maipulation here....not at all...

fuckin a buddy....


Thu, 12/05/2013 - 16:23 | Link to Comment walküre
walküre's picture

Just in time for my Christmas shopping! I sold a bunch of crap that was collecting dust on Craigslist and convert the fiat into silver and gold. Lean and mean and ready to rock'n roll when this system goes into the crapper!

Thu, 12/05/2013 - 17:16 | Link to Comment NoDebt
NoDebt's picture

I'm going to go out on a limb here and say that a 5x change relative to an FX pairing is a bit more than I can accept as simply being currency-based fluctuation.

I think this may be real weakness.  Not just a currency hammering.

Thu, 12/05/2013 - 16:54 | Link to Comment Crash Overide
Crash Overide's picture

Drink beer, be happy.

Thu, 12/05/2013 - 16:07 | Link to Comment Serfs Up
Serfs Up's picture

"The printing will continue until morale improves."

     ~Abe, 2013


Thu, 12/05/2013 - 16:26 | Link to Comment max2205
max2205's picture

20 year downtrend line hit and boy they didnt wait to sell...thanks chris you should invite him in and replace graham summers

Thu, 12/05/2013 - 16:46 | Link to Comment Vampyroteuthis ...
Vampyroteuthis infernalis's picture

"The printing will continue until morale improves."

~Central Banks, 2013, 2014, 2015,....., 2020,........, 2030, and etc.


Here corrected it for you.

Thu, 12/05/2013 - 15:22 | Link to Comment Dr. Engali
Dr. Engali's picture

The Japanese central bank is already buying everything in sight to prop this shit up. There isn't much left fo Kuroda to buy.

Thu, 12/05/2013 - 15:28 | Link to Comment Grande Tetons
Grande Tetons's picture

I hear you. However, going long Yen is holding one hot tater. 

Thu, 12/05/2013 - 15:34 | Link to Comment Al Huxley
Al Huxley's picture

That's the problem with the markets today - it's like half a dozen different bags of dogshit, that are all getting bid to ridiculous levels but taking turns leading, and the trick is to buy the one that's going to catch the next bid, all the while knowing that someday everybody's going to figure out 'hey these are ALL bags of dogshit, none of them are worth ANYTHING'.

Thu, 12/05/2013 - 15:39 | Link to Comment Grande Tetons
Grande Tetons's picture

I look for the Greyhound that just took a big steamer and then run to the betting window. 

Thu, 12/05/2013 - 18:34 | Link to Comment Pareto
Pareto's picture

Its all bullshit AH.  We just tried to do a mental "connect the dots" with the Nikkei futures down 800.  Try this, if they are dumping stocks as the JPY rallies, then they are probably buying JGB's, and they will probably be dumping Treasuries to buy the JGB's as well.  So, if this is correct, there will be pressure on yields tomorrow, but, for the wrong reasons - yields will rise and both Treasuries and stocks will take a dump - which if I read you correctly, are 2 out of the 7 or 8 bags of shit you speak of.  cheers

Thu, 12/05/2013 - 15:24 | Link to Comment starman
starman's picture

If you want keep your printer you can keep your printer

Thu, 12/05/2013 - 15:29 | Link to Comment Al Huxley
Al Huxley's picture

I thought the carry was EUR/JPY, which thanks to the vertical move in the EUR is still looking toppy, but not dead yet.

Thu, 12/05/2013 - 15:42 | Link to Comment Pig Circus
Pig Circus's picture

I thought the carry was AUD/JPY? Bunch of Beggar Thy Neighbor Bullshit.

Thu, 12/05/2013 - 15:34 | Link to Comment pods
pods's picture

Dropping like a melted blob of radioactive goo through the bottom of the containment tank.


Thu, 12/05/2013 - 15:37 | Link to Comment _ConanTheLibert...
_ConanTheLibertarian_'s picture

An 800 pnts collapse in the S&P500 would be much more fun.

Thu, 12/05/2013 - 15:39 | Link to Comment whatsinaname
whatsinaname's picture

You bet Conan.

Thu, 12/05/2013 - 15:37 | Link to Comment frankTHE COIN
frankTHE COIN's picture

Reverse Tora ! Tora !Tora, Bitches!

Thu, 12/05/2013 - 15:39 | Link to Comment partimer1
partimer1's picture

Everything is so closely correlated, disaster waiting to happen.

Thu, 12/05/2013 - 15:49 | Link to Comment frankTHE COIN
frankTHE COIN's picture

Hurry up and get here.

Thu, 12/05/2013 - 15:40 | Link to Comment q99x2
q99x2's picture

I noticed that as soon as BitCoin hits the same price as gold somebody sells 10,000 bitcoins. Do you think maybe it would be some modern alchemist converting bitcoins into gold. Maybe an Indian.

Thu, 12/05/2013 - 16:36 | Link to Comment mt paul
mt paul's picture

Alchemy 101


share not

with those

that no naught...

Thu, 12/05/2013 - 15:59 | Link to Comment pragmatic hobo
pragmatic hobo's picture

markets are a joke ... no wonder with clown bernanke in charge ...

Thu, 12/05/2013 - 16:37 | Link to Comment rp1
rp1's picture

800 points means very little on the Nikkei.  It's worth thinking about that.

Thu, 12/05/2013 - 17:13 | Link to Comment NoDebt
NoDebt's picture

Drop 800 pts. off the Dow in 2 days and watch what happens.  Cramer would start doing coke again, the 'Fast Money' crew would be downing Alka Seltzer and Prozac by the handfull and Steve Liesman would be..... well, who really gives a crap what Steve Liesman does.

It matters.

Thu, 12/05/2013 - 17:37 | Link to Comment rp1
rp1's picture

That's the whole problem - the Dow loses 2% and it's news.  Talk about thin skin!  The Nikkei can plummet and it makes waves elsewhere, but does anyone care?  Who has a strong hand and who is ready to lose their shit?

Thu, 12/05/2013 - 17:03 | Link to Comment geotrader
geotrader's picture

800 point drop means more money for the S&P right?

Thu, 12/05/2013 - 18:48 | Link to Comment Rocket De Stock
Rocket De Stock's picture

Japan is absolutely "everything" as the U.S pump job is a mere product of the ga ja billions yen splilling out of Japan.


Big Ben can't even put the 85 billion to good use as bonds collapse.


If you're watching anything thse "should" be Japan.

Thu, 12/05/2013 - 23:41 | Link to Comment Trampy
Trampy's picture

What does beta mean in this article, please?

It seems that Tylers think it's important because of the three exclamation marks, and they say it's rising, but what it is isn't clear.

The article seems to imply it may be something like the slope of a regression line, but which one, and when?

Or is it the "beta coefficient" described here ?

Beta Coefficient

Beta coefficient is a measure of sensitivity of a share price to movement in the market price. It measures systematic risk which is the risk inherent in the whole financial system. Beta coefficient is an important input in capital asset pricing model to calculate required rate of return on a stock. It is the slope of the security market line.


Beta coefficient is calculated as covariance of a stock's return with market returns divided by variance of market return. A slight modification helps in building another key relationship which tells that beta coefficient equals correlation coefficient multiplied by standard deviation of stock returns divided by standard deviation of market returns. Beta coefficient is given by the following formulas:

? =  Covariance of Market Return with Stock Return Variance of Market Return ? =  Correlation Coefficient  ×  Standard Deviation of Stock Returns Between Market and Stock Standard Deviation of Market Returns


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