Watch Dollar Yen

The way to trade markets the last few months has been just to set your Algo's to correlate with these Cross Currencies:

USD/JPY
EUR/JPY
EUR/USD
EUR/CHF

The reason? Very simply the Carry Trade.  The most heavely carried trades are the USD/JPY and EUR/JPY couplings. As the Yen gains momentum it destroys the carry. One of the many reasons for the Flash Crash on May 6th was the sudden move in the Yen. Many people borrow in Yen and then invest in risk assets. When the borrowed currency suddenly appreciates you have leveraged losses.