For many years the yen trade referred to the yen-carry trade where traders would borrow in yen at a very low interest rate, convert to a higher interest rate currency (like the Australian dollar - AUD) and collect several times as much interest on the AUD account as was paid on the YEN account.  Since late 2012 after the yen hit a double top against the U.S. dollar (around 1.31 October 2011 and approximately 1.29 in August 2012) the interest driven trade has given way to another trade seeking to appreciate value by being short the yen.  Chicago commodity trader Tres Knippa says the 22% decline in the yen against the dollar is just the beginning:  He is looking for up to 75% decline overall, 66% from the exchange rate today.

Click on chart for larger image at Attain Capital Management.

In the following video interview by Merlin Rothfeld and John O'Donnell on Power Trading Radio, veteran CME floor trader Tres Knippa describes ways that retail investors might play the new yen trade with less risk than using options which have expiration dates and can have accumuated costs from time decay and rollover expenses.  He mentions buying gold with yen and mortgaging your house in yen.  Some details of the processes are discussed.  In the video (and on his website) Knippa is very clear that his view is not guaranteed and there are risks that the scenario he envisions will not play out.

In the video, Knippa makes his entry at about 4:45 and finishes at 31:45.