USDJPY around the Tokyo fix: small window, real distortions

[Amanhasnoname]

At 09:55 Tokyo time, Japanese importers and banks set the daily reference rate for dollar-yen, and a lot of customer orders get matched around it. In practice the pair often shows a short burst of directional pressure into the fix, followed by a pause or partial reversal once it passes. On many days it is invisible. On some days, particularly the 5th, 10th and month-end dates when payments cluster, it can be a clear 15 to 20 pip move.

For a scalper the interesting bit is the volatility pocket, not any directional call. Within a few minutes either side of 09:55, momentum entries can get faded quickly, and stops sized for the normal Asian range get tagged. Spread may widen mildly, though the effect is smaller than at rollover.

A way to test it: take 100 days of USDJPY one-minute data, mark 09:45 to 10:05 Tokyo, and compare the average range with other 20-minute windows of that session. Split by date type, regular days against settlement days, to see if the effect is concentrated.

If the window is just noise on regular days and real on the 5th and 10th, a calendar-based filter is far more efficient than a blanket one.

Does anyone trade the fix deliberately, or is avoiding it the better choice on USDJPY?