Societe Generale Research likes short EUR/JPY through the month of October.
"One thing that's become noticeable of late is the USD/JPY no longer moves as closely with risk sentiment as it used. The correlation with the S&P has faded away and ‘risk off' days are not automatically days when the yen gains. It makes sense when all the G10 currencies are potential 'carry currencies' so risk aversion no longer pushes people to buy the yen any more than anything else. However, as the chart below suggests, there has been a very clear correlation between moves in EUR/JPY and equities in recent months which is even more noticeable in the futures market," SocGen notes.
"In our US election cross-asset piece we argue that at least initially, President Biden would be more dollar-negative than President Trump 2. But in the uncertainty that is set to dominate the next month, maybe short EUR/JPY is the right trade," SocGen adds.