FX Trading Strategies for February 21, 2018 (based on closing prices for February 20, 2018) FX Pair 1 Volatility 2 Skew 3 Correlation 4 Trades Best Trade Today oqti oqvi oqsi oqti vs. oqvi AUD/USD.78760 29 Bear 70 Rich 47 Even -0.27 Sell Short Call Spread GBP/USD 1.40000 50 Flat 86 Rich 50 Even +0.22 Wait Short Condor USD/CAD 1.26480 78 Bull 33 Cheap 38 Puts +0.21 Buy Call Spread EUR/USD 1.23310 57 Flat 57 Fair 22 Puts +0.25 Wait Condor USD/JPY 107.358 12 Bear! 66 Rich 14 Puts -0.61 Sell! Short Call Spread USD/CHF.93630 17 Bear! 61 Rich 6 Puts! -0.36 Sell! Short Call Spread 1 (oqti): OptionQuantFX Indicator ranges from 0 to 100. Readings below 40 indicate the spot market is bearish; above 60 the spot is bullish. 2 Volatility (oqvi): OptionQuantFX Volatility Indicator ranges from 0 to 100. Readings below 40 indicate options are undervalued; above 60 options are overvalued. 3 Skew (oqsi): OptionQuantFX Skew Indicator ranges from 0 to 100. Readings below 40 indicate puts are more expensive than calls; above 60 calls more expensive. 4 Correlation (oqti vs. oqvi): R 2 correlation coefficient ranges from -1 to +1. Negative readings indicate volatility rises when the spot falls; positive the opposite.
Trading Strategies Based on Closing Prices for February 21, 2018 Page 2 of 10 Puts 7 5 6 Trade 4 5 6 Volatility Calls Entry Price 8 Exp Option Trade oqti 1 Limit Net Stop Net oqvi 2 oqsi 3 Buy Sell Buy Sell Pips $ Limit $Profit Stop $Loss AUD/USD (100,000 Australian Dollar vs. US Dollar).78760 29 Sell.78068 -.00692.79149 +.00389 5-Apr 70 47 Short Call Spread.820.800 (.00350) (350) (.00092) 258 (.00534) (184) GBP/USD (100,000 British Pound vs. US Dollar) 1.40000 50 Wait 5-Apr 86 50 Short Condor 1.335 1.375 1.465 1.425 (.01316) (1,316) (.00583) 733 (.02008) (692) USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.26480 78 Buy 1.27488 +.01008 1.25914 -.00566 5-Apr 33 38 Call Spread 1.280 1.300.00432 342.00801 292.00239 (153) EUR/USD (100,000 Euro vs. US Dollar) 1.23310 57 Wait 5-Apr 57 22 Condor 1.220 1.195 1.245 1.270.01210 1,210.01518 308.00977 (233) USD/JPY (100,000 US Dollar vs. Japanese Yen) 107.358 12 Sell! 106.403 -.955 107.894 +.536 5-Apr 66 14 Short Call Spread 111.5 109.0 (.465) (433) (.122) 319 (.710) (228) USD/CHF (100,000 US Dollar vs. Swiss Franc).93630 17 Sell!.92794 -.00836.94099 +.00469 5-Apr 61 6 Short Call Spread.970.950 (.00367) (392) (.00097) 288 (.00570) (217) 1 oqti: OptionQuantFX Indicator ranges from 0 to 100. Readings below 40 indicate the spot market is bearish; above 60 the spot is bullish. 2 oqvi: OptionQuantFX Volatility Indicator ranges from 0 to 100. Readings below 40 indicate options are undervalued; above 60 options are overvalued. 3 oqsi: OptionQuantFX Skew Indicator ranges from 0 to 100. Readings below 40 indicate puts are more expensive than calls; above 60 calls more expensive. 4 Trade: Market orders for spot trades ("!" indicates a strong signal). OB/OS indicates an overbought/oversold market. No spot trades at OB or OS levels. 5 : Liquidate at a profit when the trade profits this much or the oqti reverses to Buy/Sell, or (for option trades) when Days to Expiration falls to less than 15. 6 : Liquidate at a loss when the trade loses this much or the oqti reverses to Buy/Sell, or (for options trades) when Days to Expiration falls to less than 15. 7 : Strongest combination of trade indicators today. 8 Entry Price: Limit ("or better") orders for option trades. Does not include commissions. See complete trade liquidation guidelines on page 10.
Trading Strategies Based on Closing Prices for February 21, 2018 Page 3 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 AUD/USD (100,000 Australian Dollar vs. US Dollar).78760 29 Sell.78068 -.00692.79149 +.00389 5-Apr 70 47 Short Call Spread.820.800 (.00350) (350) (.00092) 258 (.00534) (184) AUDUSD.78760 AUDUSD Short Call Spread Profit & Loss +.820C/-.800C 5-Apr 15-Mar 20-Feb 0.8025 0.004 0.7875 0.7725 0.002 0.7575 0 AUDUSD Volatility oqhv AtM IV 9.16% 0.7425-0.002 9.40% -0.004 8.40% 7.40% -0.006 6.40% -0.008 5.40% -0.01 AUDUSD Skew vs. Delta 1Y Avg -10-25 AtM +25 +10 1.60% 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% -0.20% -0.40% -0.012-0.014-0.016-0.018.75000.76250.77500.78750.80000.81250.82500.83750.85000 AUDUSD
Trading Strategies Based on Closing Prices for February 21, 2018 Page 4 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 GBP/USD (100,000 British Pound vs. US Dollar) 1.40000 50 Wait 5-Apr 86 50 Short Condor 1.335 1.375 1.465 1.425 (.01316) (1,316) (.00583) 733 (.02008) (692) GBPUSD 1.40000 1.435 GBPUSD Short Condor Profit & Loss +1.465C/-1.425C +1.335P/-1.375P 5-Apr 15-Mar 20-Feb 0.015 1.41 1.385 0.01 1.36 1.335 0.005 1.31 GBPUSD Volatility oqhv AtM IV 9.98% 0 9.30% 8.50% 7.70% 6.90% -0.005-0.01 6.10% -0.015 GBPUSD Skew vs. Delta 1Y Avg 1.30% 1.10% 0.90% 0.70% 0.50% 0.30% 0.10% -0.10% -10-25 AtM +25 +10-0.30% -0.02-0.025-0.03 1.30000 1.32500 1.35000 1.37500 1.40000 1.42500 1.45000 1.47500 1.50000 GBPUSD
Trading Strategies Based on Closing Prices for February 21, 2018 Page 5 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.26480 78 Buy 1.27488 +.01008 1.25914 -.00566 5-Apr 33 38 Call Spread 1.280 1.300.00432 342.00801 292.00239 (153) USDCAD 1.26480 1.2925 USDCAD Call Spread Profit & Loss +1.280C/-1.300C 5-Apr 15-Mar 20-Feb 1.2775 0.016 1.2625 0.014 1.2475 1.2325 0.012 USDCAD Volatility oqhv AtM IV 7.30% 1.2175 8.00% 0.01 0.008 7.50% 7.00% 0.006 6.50% 0.004 6.00% 0.002 USDCAD Skew vs. Delta 1Y Avg 0.80% 0.70% 0.60% 0.50% 0.40% 0.30% 0.20% 0.10% 0.00% -0.10% -10-25 AtM +25 +10-0.20% 0-0.002-0.004-0.006 1.23000 1.24250 1.25500 1.26750 1.28000 1.29250 1.30500 1.31750 1.33000 USDCAD
Trading Strategies Based on Closing Prices for February 21, 2018 Page 6 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 EUR/USD (100,000 Euro vs. US Dollar) 1.23310 57 Wait 5-Apr 57 22 Condor 1.220 1.195 1.245 1.270.01210 1,210.01518 308.00977 (233) EURUSD 1.23310 EURUSD Condor Profit & Loss +1.245C/-1.270C +1.220P/-1.195P 5-Apr 15-Mar 20-Feb 1.2425 1.2225 1.2025 0.013 0.01 EURUSD Volatility oqhv AtM IV 8.22% 1.1825 1.1625 8.00% 7.40% 6.80% 0.007 0.004 0.001 6.20% 5.60% EURUSD Skew vs. Delta 1Y Avg 1.20% 1.10% 1.00% 0.90% 0.80% 0.70% 0.60% 0.50% 0.40% 0.30% 0.20% 0.10% 0.00% -0.10% -10-25 AtM +25 +10-0.20% -0.002-0.005-0.008-0.011-0.014 1.1850 1.1975 1.2100 1.2225 1.2350 1.2475 1.2600 1.2725 1.2850 EURUSD
Trading Strategies Based on Closing Prices for February 21, 2018 Page 7 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/JPY (100,000 US Dollar vs. Japanese Yen) 107.358 12 Sell! 106.403 -.955 107.894 +.536 5-Apr 66 14 Short Call Spread 111.5 109.0 (.465) (433) (.122) 319 (.710) (228) USDJPY 107.358 USDJPY Short Call Spread Profit & Loss +111.5C/-109.0C 5-Apr 15-Mar 20-Feb 112.5 0.5 110.5 108.5 0.2 106.5-0.1 USDJPY Volatility oqhv AtM IV 9.24% 104.5-0.4 9.30% 8.40% -0.7 7.50% 6.60% -1 5.70% USDJPY Skew vs. Delta 1Y Avg -10-25 AtM +25 +10 2.80% 2.40% 2.00% 1.60% 1.20% 0.80% 0.40% 0.00% -0.40% -0.80% -1.3-1.6-1.9-2.2 104.000 105.250 106.500 107.750 109.000 110.250 111.500 112.750 114.000 USDJPY
Trading Strategies Based on Closing Prices for February 21, 2018 Page 8 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/CHF (100,000 US Dollar vs. Swiss Franc).93630 17 Sell!.92794 -.00836.94099 +.00469 5-Apr 61 6 Short Call Spread.970.950 (.00367) (392) (.00097) 288 (.00570) (217) USDCHF.93630 0.9975 USDCHF Short Call Spread Profit & Loss +.970C/-.950C 5-Apr 15-Mar 20-Feb 0.98 0.004 0.9625 0.002 0.945 0.9275 0 USDCHF Volatility oqhv AtM IV 8.45% 0.91-0.002 8.30% -0.004 7.70% 7.10% -0.006 6.50% -0.008 5.90% -0.01 USDCHF Skew vs. Delta 1Y Avg 1.80% 1.50% 1.20% 0.90% 0.60% 0.30% 0.00% -0.30% -10-25 AtM +25 +10-0.60% -0.012-0.014-0.016-0.018.90000.91250.92500.93750.95000.96250.97500.98750 1.00000 USDCHF
Trading Strategies Based on Closing Prices for February 21, 2018 Page 9 of 10 OptionQuantFX Index (oqti) 100 95 90 80 70 60 50 40 30 20 10 5 0 OB Buy! Buy Wait Sell Sell! OS Straddle Call Put Strangle OptionQuantFX Trade Engine Call Spread CAD Butterfly Put Spread Short Put Spread (oqsi > 50) or Call Spread (oqsi < 50) Iron Condor Put Spread (oqsi > 50) or Short Call Spread (oqsi < 50) Short Iron Condor Cheap! Cheap Fair Rich Short Call Spread Short Butterfly 0 10 20 30 40 50 60 70 80 90 100 OptionQuantFX Volatility Index (oqvi) EUR CHF JPY AUD Short Put Spread GBP Rich! OptionQuantFX Skew Index (oqsi) Calls! Calls Even Puts Puts!
OptionQuantFX Trade Liquidation Guidelines Consider liquidating trades when 1) the trade has lost an amount equal to level at the time the trade was initiated, or 2) the trade has profited by an amount equal to level at the time the trade was initiated, or 3) the Trade column switches to Wait/Sell (for bullish trades) or Wait/Buy (for bearish trades), or 4) the Trade column switches to Wait (for neutral trades) or Buy/Sell, or 5) the Days to Expiration falls to less than 15 (for option trades) OptionQuantFX is a product of The Applied Research Company 53 West Jackson Boulevard Suite #337 Chicago, IL 60604-3608 USA Monadnock Building www.appliedresearch.com info@appliedresearch.com