the January 2019 yen cross spike, thin liquidity again

[Shadow Trader]

Early on 3 January 2019, in the quiet window after the New York close and the daily rollover, the yen suddenly surged against almost everything. Several yen crosses, such as AUD/JPY, plunged in a flash move, and USD/JPY dropped sharply too. Prices recovered a good part of the fall within the hour.

It happened with US markets closed and Tokyo largely on holiday, so participation was thin. A trigger widely mentioned was a profit warning from a large technology company, which pushed traders toward safe assets like the yen. Algorithms and stop orders are said to have amplified the move in a market with few buyers.

Some brokers reported stops filling at levels far away from where orders were placed, and several retail traders found their accounts hit hard.

What stands out is the timing. It wasn't a calendar event, and it came when the market was at its weakest.

Anyone trading yen crosses around rollover knows that the spread can be huge and depth can vanish for a moment. The risk grows around holidays too, when thin periods stretch for a day or more.

Does anyone avoid yen crosses around rollover and holiday sessions, and how large was the spread you saw at the time?