I do believe it's the quarterly quadruple witching expiration, but many pros still call it triple witching, ignoring the expiration of single-stock options futures.
From Marc to Market:
Overview: After some dramatic moves over in the immediate post-Fed period, the markets have quieted. The kind of volatility that is sometimes associated with triple witching expirations in the US may have already taken place. Asia Pacific equities were mixed, but the MSCI benchmark finished with its second consecutive weekly decline. Europe's Dow Jones 600 ended its nine-day run with a small loss yesterday and additional slippage so far today. Still, near midday, it is holding on to about a 0.25% gain for the week. US futures are steady to slightly firmer. The US 10-year yield unwound the gains registered in the immediate aftermath of the Fed's less dovish signals, and near 1.48%, it is practically flat on the week. Most European yields have edged up today and are 3-5 bp higher on the week. An unexpected decline in UK retail sales and the most Covid cases in a few months appears to have dragged Gilt yields lower. The dollar is mostly firmer against the major currencies, but the euro and yen stable but fragile. The greenback is having its best week here in Q2. The Scandis are the weakest with 2.5%-2.8% losses for the week, while the yen is the strongest, off a little less than 0.5% this week. Emerging market currencies are mostly firmer today, though a handful of Asian currencies are slightly softer. The JP Morgan Emerging Markets Currency Index is posting its first gain in six sessions. Brazil, which hiked its key Selic rate by 75 bp and signaled another hike in August, has the only emerging market currency posting gains for the week (~2.2% coming into today). Gold is also seeing its first gains in six sessions, though it remains below $1800 and is off around 4.5% this week. Oil is nursing its second consecutive loss. The July WTI contract finished last week a touch below $71, and with today's slippage is near $70.50. Iron ore and steel rebar futures prices are higher, and copper is slightly firmer after dropping 4.7% yesterday. Grains and livestock prices tumbled yesterday, and the CRB Index fell 2.8%. It had not risen so far this week and is off around 3.8% coming into today, which, if sustained, would be the largest weekly loss since before the Covid vaccine was announced.
Asia Pacific
The BOJ made two announcements today while not changing its policy settings. First, it extended its emergency lending facilities for six months through next March. This is not so surprising and was expected now or at the next meeting. Second, and more innovative, it announced the intention to launch a new lending facility to help fight climate change. At his press conference, BOJ Kuroda did not rule out the BOJ buying green bonds at some point. Also, while agreeing that US price pressures may be transitory, Kuroda suggested Fed's tapering could help lift the dollar against the yen.
Separately, Japan reported that the headline CPI in May improved from -0.4% to -0.1%, slightly better than expected. The core rate, which excludes fresh food, stands at 0.1% after being negative for the previous nine months. However, this seems to reflect the surge in oil and gas prices. Excluding bot fresh food and energy, Japan's consumer prices were off 0.2% year-over-year, the same as in April.....
....MUCH MORE
