FX Trading Strategies for March 7, 2018 (based on closing prices for March 6, 2018) FX Pair 1 Volatility 2 Skew 3 Correlation 4 Trades Best Trade Today oqti oqvi oqsi oqti vs. oqvi AUD/USD.77800 34 Bear 52 Fair 59 Even -0.36 Sell Put Spread GBP/USD 1.38950 41 Flat 66 Rich 83 Calls +0.04 Wait Short Condor USD/CAD 1.29550 93 Bull! 56 Fair 71 Calls +0.36 Buy! Short Put Spread EUR/USD 1.24140 53 Flat 41 Fair 86 Calls +0.09 Wait Condor USD/JPY 105.454 11 Bear! 21 Cheap 25 Puts -0.66 Sell! Put USD/CHF.93810 58 Flat 46 Fair 7 Puts! -0.54 Wait Condor 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 March 7, 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).77800 34 Sell.77136 -.00664.78173 +.00373 3-May 52 59 Put Spread.770.760.00249 249.00478 229.00126 (123) GBP/USD (100,000 British Pound vs. US Dollar) 1.38950 41 Wait 3-May 66 83 Short Condor 1.345 1.370 1.435 1.410 (.00840) (840) (.00177) 663 (.01282) (442) USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.29550 93 Buy! 1.30611 +.01061 1.28954 -.00596 3-May 56 71 Short Put Spread 1.260 1.280 (.00366) (283) (.00096) 208 (.00590) (173) EUR/USD (100,000 Euro vs. US Dollar) 1.24140 53 Wait 3-May 41 86 Condor 1.230 1.215 1.250 1.265.00794 794.00989 195.00567 (227) USD/JPY (100,000 US Dollar vs. Japanese Yen) 105.454 11 Sell! 104.473 -.981 106.004 +.550 3-May 21 25 Put 103.5.418 396.837 397.143 (261) USD/CHF (100,000 US Dollar vs. Swiss Franc).93810 58 Wait 3-May 46 7 Condor.930.915.945.960.00717 764.00970 270.00492 (240) 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 March 7, 2018 Page 3 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 AUD/USD (100,000 Australian Dollar vs. US Dollar).77800 34 Sell.77136 -.00664.78173 +.00373 3-May 52 59 Put Spread.770.760.00249 249.00478 229.00126 (123) AUDUSD.77800 0.8025 AUDUSD Put Spread Profit & Loss +.770P/-.760P 3-May 5-Apr 6-Mar 0.009 0.7875 0.008 0.7725 0.007 0.7575 0.006 0.7425 AUDUSD Volatility oqhv AtM IV 8.52% 0.005 9.40% 0.004 8.40% 7.40% 0.003 6.40% 0.002 5.40% 0.001 AUDUSD Skew vs. Delta 1Y Avg 1.60% 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% -0.20% -10-25 AtM +25 +10-0.40% 0-0.001-0.002-0.003.75000.75625.76250.76875.77500.78125.78750.79375.80000 AUDUSD
Trading Strategies Based on Closing Prices for March 7, 2018 Page 4 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 GBP/USD (100,000 British Pound vs. US Dollar) 1.38950 41 Wait 3-May 66 83 Short Condor 1.345 1.370 1.435 1.410 (.00840) (840) (.00177) 663 (.01282) (442) GBPUSD 1.38950 GBPUSD Short Condor Profit & Loss +1.435C/-1.410C +1.345P/-1.370P 3-May 5-Apr 6-Mar 1.4175 0.009 1.3925 1.3675 0.006 1.3425 0.003 GBPUSD Volatility oqhv AtM IV 8.84% 1.3175 9.30% 8.50% 0-0.003 7.70% 6.90% 6.10% GBPUSD Skew vs. Delta 1Y Avg 1.40% -10-25 AtM +25 +10 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% -0.20% -0.006-0.009-0.012-0.015-0.018 1.29000 1.31500 1.34000 1.36500 1.39000 1.41500 1.44000 1.46500 1.49000 GBPUSD
Trading Strategies Based on Closing Prices for March 7, 2018 Page 5 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.29550 93 Buy! 1.30611 +.01061 1.28954 -.00596 3-May 56 71 Short Put Spread 1.260 1.280 (.00366) (283) (.00096) 208 (.00590) (173) USDCAD 1.29550 1.3025 USDCAD Short Put Spread Profit & Loss +1.260P/-1.280P 3-May 5-Apr 6-Mar 1.285 0.004 1.2675 0.002 1.25 1.2325 0 USDCAD Volatility oqhv AtM IV 7.89% 1.215 8.10% -0.002 7.80% -0.004 7.50% -0.006 7.20% 6.90% -0.008 6.60% -0.01 USDCAD Skew vs. Delta 1Y Avg 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% -0.012-0.014-0.016-0.018 1.23500 1.24750 1.26000 1.27250 1.28500 1.29750 1.31000 1.32250 1.33500 USDCAD
Trading Strategies Based on Closing Prices for March 7, 2018 Page 6 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 EUR/USD (100,000 Euro vs. US Dollar) 1.24140 53 Wait 3-May 41 86 Condor 1.230 1.215 1.250 1.265.00794 794.00989 195.00567 (227) EURUSD 1.24140 EURUSD Condor Profit & Loss +1.250C/-1.265C +1.230P/-1.215P 3-May 5-Apr 6-Mar 0.009 1.2425 1.2225 0.007 1.2025 1.1825 0.005 1.1625 EURUSD Volatility oqhv AtM IV 7.51% 0.003 8.00% 7.40% 0.001 6.80% 6.20% -0.001 5.60% -0.003 EURUSD Skew vs. Delta 1Y Avg 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% -0.005-0.007-0.009 1.1900 1.2025 1.2150 1.2275 1.2400 1.2525 1.2650 1.2775 1.2900 EURUSD
Trading Strategies Based on Closing Prices for March 7, 2018 Page 7 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/JPY (100,000 US Dollar vs. Japanese Yen) 105.454 11 Sell! 104.473 -.981 106.004 +.550 3-May 21 25 Put 103.5.418 396.837 397.143 (261) USDJPY 105.454 112.25 USDJPY Put Profit & Loss +103.5P 3-May 5-Apr 6-Mar 1.3 110.25 108.25 106.25 1.1 0.9 USDJPY Volatility oqhv AtM IV 8.69% 104.25 0.7 9.30% 8.40% 7.50% 6.60% 0.5 0.3 5.70% 0.1 USDJPY Skew vs. Delta 1Y Avg 2.60% 2.30% 2.00% 1.70% 1.40% 1.10% 0.80% 0.50% 0.20% -0.10% -0.40% -10-25 AtM +25 +10-0.70% -0.1-0.3-0.5 102.500 103.125 103.750 104.375 105.000 105.625 106.250 106.875 107.500 USDJPY
Trading Strategies Based on Closing Prices for March 7, 2018 Page 8 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/CHF (100,000 US Dollar vs. Swiss Franc).93810 58 Wait 3-May 46 7 Condor.930.915.945.960.00717 764.00970 270.00492 (240) USDCHF.93810 0.9975 USDCHF Condor Profit & Loss +.945C/-.960C +.930P/-.915P 3-May 5-Apr 6-Mar 0.01 0.98 0.9625 0.008 0.945 0.9275 0.006 0.91 USDCHF Volatility oqhv AtM IV 7.55% 0.004 8.50% 7.90% 0.002 7.30% 6.70% 0 6.10% USDCHF Skew vs. Delta 1Y Avg 2.10% -10-25 AtM +25 +10 1.80% 1.50% 1.20% 0.90% 0.60% 0.30% 0.00% -0.30% -0.60% -0.002-0.004-0.006-0.008.89000.90250.91500.92750.94000.95250.96500.97750.99000 USDCHF
Trading Strategies Based on Closing Prices for March 7, 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 JPY Call Spread Butterfly Put Spread Short Put Spread (oqsi > 50) or Call Spread (oqsi < 50) CHF EUR Iron Condor AUD 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) CAD GBP Short Put Spread 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