Can the Nikkei 225 hold 66,000 yen? US interest rate surge and mini-option SQ [September 24]
Good morning, this is Nagi. During the three-day cash market holiday, Nikkei 225 futures rose to as high as 67,140 yen. However, following the decline in US stocks and the rise in US long-term interest rates on September 23, the Nikkei 225 Large December contract on the Osaka Exchange was at 65,910 yen as of 02:43 on September 24. How the Tokyo cash market reacts to the pullback from the holiday high is today’s focus.
Information was verified at 06:08 JST on September 24. Open interest data is current as of the September 18 trading session; no new changes in open interest due to the holiday trading from the 21st to the 23rd can be confirmed. The final futures confirmation value is also from 02:43 and is not treated as the 06:00 settlement price. The following are conditional scenarios based on the same Large December contract and do not constitute investment advice.
First, the conclusion in 30 seconds
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For September 24, the base case is 46%, upside 25%, and downside 29%. The center is 65,900 yen, and the base range is 65,400–66,600 yen.
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For the upside, watch for a sustained move above 66,600 yen for 15–30 minutes and whether the cash market and TOPIX follow.
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For the downside, if it breaks below 65,400 yen and fails to return to 65,900 yen, we will check 65,000 yen and 64,500 yen.
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The center range for the 5 cash trading days (September 24, 25, 28, 29, 30) is 64,500–67,000 yen, with an overall expectation of 63,000–68,000 yen.
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The maximum risks are a sharp rise in the US 10-year Treasury yield, caution regarding currency intervention, and the September 25 mini-option SQ.
The overall confidence level is “low.” The cash market and TOPIX have not been updated since September 18, and JPX open interest remains unchanged from that day. While the US stock decline and futures pullback on September 23 are new information, we cannot determine a strong direction before confirming with the Tokyo opening and the overall market’s advance-decline ratio.
Pullback from holiday highs and rising US interest rates
The September 18 cash market closing prices were 65,018.95 yen for the Nikkei Average and 4,091.14 for the TOPIX. Trading value on the TSE Prime Market was 10.3969 trillion yen. The cash market was closed from the 21st to the 23rd, while the Osaka Exchange conducted three days of holiday derivative trading. Only after the opening on September 24 can we verify the holiday futures price levels against the cash market spread.
The Nikkei 225 Large December futures contract hit 67,140 yen at 09:12 on September 23, then reached 65,910 yen at 02:43 on the 24th. While this is 810 yen higher than the September 18 settlement price of 65,100 yen, it is 1,230 yen lower than the holiday high. The Chicago Nikkei futures price of 65,935 yen at 04:11 on September 24 is treated as a reference value from a separate market and is not read as the Osaka closing price.
Preliminary closing figures for the US on September 23 were 51,512.42 for the Dow and 26,936.04 for the Nasdaq. The S&P 500 was at 7,706.39, down 58.25 from the previous day, and the SOX was at 12,525.50, down 1.29%. The VIX rose to 15.17. The bullish rationale from the previous day, which relied solely on semiconductor strength, has receded.
The US 10-year Treasury yield was 5.104% as of 04:11 on the 24th, and WTI November crude was $92.22. The dollar-yen pair rose to 157.76–158.40 yen during the NY session on the 23rd. While a weaker yen can support export stocks, high interest rates are a headwind for high-PER stocks, and there is also caution regarding intervention in the 158 yen range. We will not assume index gains based on currency movements alone.
Three scenarios for September 24
Base scenario: 46%
Establishment conditions: Hold 65,400 yen and trade within a range just below 66,600 yen. The cash market will digest the holiday highs of futures and the decline in US stocks, with the trend being explored while watching the TOPIX and the number of advancing/declining issues.
Target: Center 65,900 yen, base band 65,400–66,600 yen. Expected opening price is 65,600–66,300 yen.
The expected high is 66,300–66,900 yen.
The expected low is 65,000–65,600 yen.
The expected closing price is 65,300–66,400 yen. These are not single-point forecasts but conditional ranges that allow for width based on the opening gap.
Invalidation conditions: Maintain above 66,600 yen for 15–30 minutes, or fail to recover 65,900 yen after breaking below 65,400 yen. A momentary breach immediately after the opening will not trigger a switch.
Bullish scenario: 25%
Establishment conditions: Maintain above 66,600 yen for 15–30 minutes and have the TOPIX and advancing issues follow suit. We will confirm the difference between temporary futures-led buybacks and sustained cash market buying.
Target: 67,100 yen, then 67,500 yen. If it can break and hold above the holiday high of 67,140 yen, the price range may expand due to buybacks from short-covering. We do not conclude this as we cannot confirm net buying by participants.
Invalidation conditions: Break below 65,900 yen. If the rise does not spread to the cash market and it falls below the center again, we return to the base scenario.
Bearish scenario: 29%
Establishment conditions: Break below 65,400 yen and fail to recover 65,900 yen even on a rebound. This is for when the cash market takes the high US interest rates and semiconductor decline heavily.
Target: 65,000 yen, then 64,500 yen. 65,000 yen also overlaps with the max pain of the old standard October contract open interest, but there is no guarantee that the price will be drawn to it. If it breaks below 64,500 yen, we will be wary of the possibility of hedge selling.
Invalidation conditions: Recover and hold 66,100 yen. If the downward break is negated in a short time, we will not persist in the bearish view.
3 scenarios for the next 5 cash market business days
The target dates are September 24, 25, 28, 29, and 30. The OSE holiday trading from September 21–23 is not counted as Tokyo cash market business days. The overall expectation is 63,000–68,000 yen, 64,000–67,000 yen for the weekend of the 25th, and 63,500–67,500 yen for the end point on the 30th. The maximum fluctuation candidate is the 24th when the cash market resumes, followed by the mini-option SQ on the 25th.
Sideways scenario: 42%
Establishment conditions: Hold 64,500 yen while failing to establish a daily close above 67,100 yen. This is for when the cash market digests the values set during the holidays while maintaining caution regarding US interest rates and the yen.
Target: Center 64,500–67,000 yen. Even after the September 25 SQ, if US stock and interest rate factors persist, I will not assume a narrowing of the price range.
Invalidation conditions: daily close established above 67,500 yen, or daily close falling below 64,000 yen.
Bullish scenario: 24%
Conditions for fulfillment: recovering 67,100 yen on a daily basis, and TOPIX also continuing to rise. A pause in the rise of the US 10-year Treasury yield and a rebound in semiconductor stocks are necessary.
Target: 67,500–68,000 yen. I will focus on whether the previous day’s futures high can be turned into support for the spot price. I will not predict the upside based solely on old open interest in standard options.
Invalidation conditions: continued trading below 66,000 yen. If the center cannot be maintained after an upward breakout, I will revert to a sideways view.
Bearish scenario: 34%
Conditions for fulfillment: falling below 65,000 yen on a daily basis and failing to return to 65,400 yen. This applies if high US interest rates, weak semiconductor stocks, and sudden yen fluctuations coincide.
Target: 64,500 yen, 63,000 yen. I will not commit to a bottom price all at once, but will verify whether open interest is updated around the September 25 SQ.
Invalidation conditions: recovering and maintaining 66,600 yen. Since the US PCE on September 30 at 21:30 occurs after the Tokyo close, I will not retroactively apply it as a definitive factor to the daytime closing price on the 30th.
Standard October expiry option open interest
For the standard October expiry as of September 18, there were 91,959 put contracts, 39,742 call contracts, an open interest PCR of 2.314, and a volume PCR of 1.012. The max pain is 65,000 yen. The open-interest-weighted strike price limited to the 50,000–80,000 yen range is approximately 63,241 yen, which differs from the overall average that includes deep out-of-the-money balances.
The call option with a strike price of 66,000 yen had 2,972 contracts, an increase of 1,050 from the previous day. There are areas with thick open interest at the top and bottom, such as 2,295 contracts for the 70,000 yen call and 11,801 contracts for the 60,000 yen put. However, these increases and decreases are facts up to September 18, and it cannot be said that they newly accumulated during the holiday trading from the 21st to the 23rd.
I will set 65,000 yen as a short-term observation point, but max pain is not a prophecy of the settlement value. I will limit it to an estimation of the price range based on open interest distribution and will not make assumptions about investors’ trading direction or the sign of gamma.
September 25 expiry mini-options
The final trading day for the Nikkei 225 mini-options expiring on Friday, September 25, is Thursday, September 24. Based on JPX product specifications and the list of final trading days, I have distinguished between the final trading day and the SQ/expiry date, without misreading the date in the code as the SQ date. This is a different product from Nikkei 225 mini futures.
On September 18, the same contract month had 10,822 put open interest, 7,710 call open interest, an open interest PCR of 1.404, and a volume PCR of 1.504. The max pain is 64,500 yen. I have not confirmed how the balance changed in today’s trading, and I will not explain the September 18 values as the latest changes.
The 65,000 yen level for the standard October contract and the 64,500 yen level for the mini-option are indicators for different maturities and contract sizes. Just because the SQ is near does not mean it will be mechanically pulled in one direction; I prioritize the cash market opening and the updated balance.
How to read trading patterns and their limitations
In the JPX pairs, I was able to verify open interest, volume, and day-over-day changes by contract. Comparing the 33 pairs up to September 18, there were no duplicates, missing key values, negative values, or inconsistencies in open interest arithmetic in the 1,029 latest detail items. Subtotal rows are excluded from the item count.
On the other hand, data by participant type showing net buying/selling by foreign investors, domestic institutions, individuals, and securities firms’ proprietary accounts cannot be confirmed. I do not estimate net buying or selling based solely on trading volume rankings. New positions, liquidations, inter-month rolls, and gamma states cannot be determined solely by the daily difference in open interest.
It is not yet determined whose trading caused the rise in futures during the holiday and the subsequent pullback early on the 24th. I will update the supply and demand explanation after reconciling the 24th’s volume, TOPIX, cash market fluctuations, and the next published open interest.
Important price ranges are 66,600 yen and 65,400 yen
The most important upper pivot is 66,600 yen. Maintaining this for 15 to 30 minutes, accompanied by the cash market and TOPIX, is the condition. The second resistance level is around the September 23 futures high of 67,100–67,140 yen, and for upward acceleration, I use above 67,500 yen as a guide.
The center is 65,900 yen. The first support level is 65,400–65,500 yen, the most important lower support is 65,000 yen, which is also an old open interest observation point for the standard October contract, and downward acceleration is below 64,500 yen. 64,500 yen is also the max pain as of September 18 for the mini-option expiring on September 25.
These are not fixed walls on the order book. They are observation lines that overlay the previous settlement price, holiday highs and lows, open interest concentration, and divergence from the cash market. I prioritize the duration of maintenance and the breadth of the cash market over short-term crossings.
Events and risks
September 24 (Thursday) is the resumption of the cash market and the final trading day for the mini-option expiring on September 25. The SQ and maturity will be reached at the opening on September 25 (Friday). I have also confirmed the JPX rule that does not treat holiday trading days as the final trading day.
The US August durable goods orders preliminary report is scheduled to be released on September 25 at 21:30 JST. Although this is after the Tokyo cash market close, I will check it as a factor for fluctuations in overnight Nikkei 225 futures, US interest rates, and exchange rates.
The US balance of payments is scheduled for release on September 24 at 21:30 JST, US JOLTS on September 29 at 23:00 JST, and the US GDP final report, August personal income and spending, and PCE price index on September 30 at 21:30 JST. These directly affect the Tokyo session on the following day, and I will not confuse the time differences.
The national CPI for August was already released by the Statistics Bureau of the Ministry of Internal Affairs and Communications on September 18 at 08:30. The next release for September is scheduled for October 23 at 08:30, which does not fall within the target 5 spot business days. The September data for the Ku-area of Tokyo is also scheduled for October 2 at 08:30. Unconfirmed information regarding a Tokyo CPI release on September 25 will not be adopted.
No new policy meetings by the BOJ, FRB, or ECB, nor any major earnings announcements from top Nikkei 225 contributors, could be confirmed for the target period. I will not add events to the column by guessing announcement times or companies, but will continue to monitor changes in interest rates, exchange rates, and the Middle East.
Verification of the previous forecast awaits spot market data.
The previous forecast on the morning of September 23 targeted the Large December contract for September 24, setting the base at 44%, upside at 38%, downside at 18%, and a center of 66,700 yen. The upside condition was maintaining above 67,100 yen for 15–30 minutes, and the downside condition was failing to recover 66,300 yen after breaking below 65,900 yen.
Holiday futures on September 23 rose to 67,140 yen at one point, but the confirmed value at 02:43 on the 24th fell back to 65,910 yen. I will not score the maintenance condition as met based on a momentary touch of the high. I also cannot confirm a sustained break below the 65,900 yen downside condition. The previous bullish allocation is too high given the current relative evaluation under the headwinds of US interest rates and US stocks.
There are no spot opening, high, low, or closing prices yet. The formal scoring of the common range inclusion rate and individual OHLC match rate is carried over to after the close on the 24th; I will not create a previous accuracy score based solely on holiday futures. I will not rewrite the probabilities and conditions from the previous time with hindsight.
Data standards and reliability
The latest normal JPX pair is for the September 18 trading session. The option file (47,098 bytes) and open interest file (172,419 bytes) matched in date, and normal reading was confirmed. The quality inspection of 33 pairs and the latest 1,029 items showed 0 anomalies, but open interest has not been updated between the 21st and 23rd.
Market data treated the Osaka Large December futures confirmed value at 02:43 on the 24th, the Chicago reference value at 04:11, and the US September 23 closing flash report by time and product. The 06:00 confirmed value for Osaka futures, the spot data for the 24th, and the updated option balance are unavailable. IV, delta, skew, and net positions by participant are also unavailable, so the overall reliability is rated as ‘low’.
The probabilities are a relative evaluation combining old open interest with updated futures and external markets. This is not a recalculation reflecting new open interest. It may be significantly revised by the spot opening and volume on the 24th.
Final judgment
The most likely scenario at this moment is a range of 65,400–66,600 yen, where the spot market absorbs the upside of the holiday futures. If the Nikkei 225 Large December futures maintain above 66,600 yen for 15–30 minutes and the TOPIX follows, I will switch to an upside outlook; if they fail to return to 65,900 yen after breaking below 65,400 yen I will switch to a downside outlook.
I do not treat the expectation of 67,000 yen from the previous day and the 65,900 yen level seen in the early hours with the same weight. What I am observing is the sustainability after the opening. In the event of unexpected material, I will revise the price conditions themselves.
Main data sources
JPX Notice of Holiday Trading Implementation, JPX Nikkei 225 Mini Option Product Overview, JPX List of Final Trading Days, JPX Daily Derivatives Statistics were referenced.
Futures Price Information, September 23 US Stock Closing Flash Report, US Market as of 04:11, SOX Index History were cross-referenced by product and time.
Statistics Bureau of the Ministry of Internal Affairs and Communications – Consumer Price Index, Statistics Bureau of the Ministry of Internal Affairs and Communications – CPI Release Schedule, US Census Bureau – Economic Indicator Release Schedule, US Department of Commerce BEA Release Schedule were used to confirm the schedule. Values with different source times and update ranges have not been integrated into a single closing price.
This report is a conditional analysis based on publicly available information and does not guarantee future prices or profits. Please make your own investment decisions.
Rather than trying to predict the outcome, let’s identify the turning points. Together with Nagi, let’s look at the market using data and hypotheses.