FX Trading Strategies for August 7, 2018 (Based on closing prices for August 6, 2018) FX Pair 1 Volatility 2 Skew 3 Correlation 4 Trades Best Trade Today oqti oqvi oqsi oqti vs. oqvi AUD/USD.73840 33 Bear 7 Cheap! 5 Puts! -0.66 Sell Put GBP/USD 1.29410 10 Bear! 80 Rich 0 Puts! -0.72 Sell! Short Call Spread USD/CAD 1.30060 32 Bear 95 Rich! 33 Puts +0.55 Sell Short Call Spread EUR/USD 1.15560 14 Bear! 71 Rich 0 Puts! -0.66 Sell! Short Call Spread USD/JPY 111.330 62 Bull 74 Rich 35 Puts -0.11 Buy Short Put Spread USD/CHF.99660 62 Bull 84 Rich 86 Calls +0.45 Buy Short Put 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 August 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).73840 33 Sell.73151 -.00689.74227 +.00387 20-Sep 7 5 Put.725.00361 361.00708 347.00151 (210) GBP/USD (100,000 British Pound vs. US Dollar) 1.29410 10 Sell! 1.28465 -.00945 1.29941 +.00531 20-Sep 80 0 Short Call Spread 1.340 1.310 (.00534) (534) (.00141) 393 (.00815) (281) USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.30060 32 Sell 1.29176 -.00884 1.30557 +.00497 20-Sep 95 33 Short Call Spread 1.345 1.320 (.00370) (284) (.00097) 210 (.00565) (150) EUR/USD (100,000 Euro vs. US Dollar) 1.15560 14 Sell! 1.14691 -.00869 1.16048 +.00488 20-Sep 71 0 Short Call Spread 1.195 1.170 (.00430) (430) (.00113) 317 (.00669) (239) USD/JPY (100,000 US Dollar vs. Japanese Yen) 111.330 62 Buy 112.057 +.727 110.922 -.408 20-Sep 74 35 Short Put Spread 107.0 110.0 (.428) (384) (.113) 283 (.653) (202) USD/CHF (100,000 US Dollar vs. Swiss Franc).99660 62 Buy 1.00275 +.00615.99315 -.00345 20-Sep 84 86 Short Put Spread.965.985 (.00324) (325) (.00085) 240 (.00494) (171) 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 August 7, 2018 Page 3 of 10 Puts Calls Entry Price 1 1 1 AUD/USD (100,000 Australian Dollar vs. US Dollar).73840 33 Sell.73151 -.00689.74227 +.00387 20-Sep 7 5 Put.725.00361 361.00708 347.00151 (210) AUDUSD.73840 0.765 AUDUSD Put Profit & Loss +.725P 6-Oct 5-Sep 6-Aug 0.015 0.755 0.013 0.745 0.735 0.011 AUDUSD Volatility oqhv AtM IV 7.90% 0.725 9.10% 0.009 8.70% 0.007 8.30% 7.90% 0.005 7.50% 7.10% 0.003 AUDUSD Skew vs. Delta 1Y Avg 1.30% -10-25 AtM +25 +10 1.10% 0.90% 0.70% 0.50% 0.30% 0.10% -0.10% -0.30% -0.50% 0.001-0.001-0.003-0.005.71000.71625.72250.72875.73500.74125.74750.75375.76000 AUDUSD
Trading Strategies Based on Closing Prices for August 7, 2018 Page 4 of 10 Puts Calls Entry Price 1 1 1 GBP/USD (100,000 British Pound vs. US Dollar) 1.29410 10 Sell! 1.28465 -.00945 1.29941 +.00531 20-Sep 80 0 Short Call Spread 1.340 1.310 (.00534) (534) (.00141) 393 (.00815) (281) GBPUSD 1.29410 1.3925 1.37 1.3475 GBPUSD Short Call Spread Profit & Loss +1.340C/-1.310C 6-Oct 5-Sep 6-Aug 0.006 0.003 1.325 1.3025 0 1.28-0.003 GBPUSD Volatility oqhv AtM IV 7.66% 8.00% -0.006 7.30% -0.009 6.60% 5.90% -0.012 5.20% -0.015 GBPUSD Skew vs. Delta 1Y Avg 1.80% 1.60% 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% -0.20% -0.40% -10-25 AtM +25 +10-0.60% -0.018-0.021-0.024-0.027 1.26500 1.27750 1.29000 1.30250 1.31500 1.32750 1.34000 1.35250 1.36500 GBPUSD
Trading Strategies Based on Closing Prices for August 7, 2018 Page 5 of 10 Puts Calls Entry Price 1 1 1 USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.30060 32 Sell 1.29176 -.00884 1.30557 +.00497 20-Sep 95 33 Short Call Spread 1.345 1.320 (.00370) (284) (.00097) 210 (.00565) (150) USDCAD 1.30060 1.34 USDCAD Short Call Spread Profit & Loss +1.345C/-1.320C 6-Oct 5-Sep 6-Aug 1.325 1.31 1.295 0.004 0.001 1.28-0.002 1.265 USDCAD Volatility oqhv AtM IV 6.85% 7.50% -0.005 7.10% -0.008 6.70% 6.30% -0.011 5.90% 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% -0.014-0.017-0.02-0.023 1.27000 1.28250 1.29500 1.30750 1.32000 1.33250 1.34500 1.35750 1.37000 USDCAD
Trading Strategies Based on Closing Prices for August 7, 2018 Page 6 of 10 Puts Calls Entry Price 1 1 1 EUR/USD (100,000 Euro vs. US Dollar) 1.15560 14 Sell! 1.16048 +.00488 1.14691 -.00869 20-Sep 71 0 Short Call Spread 1.195 1.170 (.00430) (430) (.00113) 317 (.00669) (239) EURUSD 1.15560 1.2175 EURUSD Short Call Spread Profit & Loss +1.195C/-1.170C 6-Oct 5-Sep 6-Aug 1.2025 1.1875 0.004 1.1725 0.001 1.1575 1.1425-0.002 EURUSD Volatility oqhv AtM IV 7.39% 8.10% -0.005 7.50% 6.90% -0.008 6.30% 5.70% EURUSD Skew vs. Delta 1Y Avg -10-25 AtM +25 +10 1.50% 1.30% 1.10% 0.90% 0.70% 0.50% 0.30% 0.10% -0.10% -0.30% -0.50% -0.011-0.014-0.017-0.02-0.023 1.1200 1.1325 1.1450 1.1575 1.1700 1.1825 1.1950 1.2075 1.2200 EURUSD
Trading Strategies Based on Closing Prices for August 7, 2018 Page 7 of 10 Puts Calls Entry Price 1 1 1 USD/JPY (100,000 US Dollar vs. Japanese Yen) 111.330 62 Buy 112.057 +.727 110.922 -.408 20-Sep 74 35 Short Put Spread 107.0 110.0 (.428) (384) (.113) 283 (.653) (202) USDJPY 111.330 USDJPY Short Put Spread Profit & Loss +107.0P/-110.0P 6-Oct 5-Sep 6-Aug 112.5 111.25 110 108.75 0.5 0.2-0.1 USDJPY Volatility oqhv AtM IV 6.93% 107.5 8.00% -0.4-0.7 7.40% 6.80% 6.20% -1-1.3 5.60% -1.6 USDJPY 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% -1.9-2.2-2.5-2.8 104.500 105.750 107.000 108.250 109.500 110.750 112.000 113.250 114.500 USDJPY
Trading Strategies Based on Closing Prices for August 7, 2018 Page 8 of 10 Puts Calls Entry Price 1 1 1 USD/CHF (100,000 US Dollar vs. Swiss Franc).99660 62 Buy 1.00275 +.00615.99315 -.00345 20-Sep 84 86 Short Put Spread.965.985 (.00324) (325) (.00085) 240 (.00494) (171) USDCHF.99660 USDCHF Short Put Spread Profit & Loss +.965P/-.985P 6-Oct 5-Sep 6-Aug 1.005 0.004 0.9975 0.99 0.002 0.9825 0 USDCHF Volatility oqhv AtM IV 6.42% 0.975-0.002 7.30% -0.004 6.60% 5.90% -0.006 5.20% -0.008 4.50% -0.01 USDCHF Skew vs. Delta 1Y Avg 1.50% -10-25 AtM +25 +10 1.30% 1.10% 0.90% 0.70% 0.50% 0.30% 0.10% -0.10% -0.30% -0.012-0.014-0.016-0.018.93500.94750.96000.97250.98500.99750 1.01000 1.02250 1.03500 USDCHF
Trading Strategies Based on Closing Prices for August 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 AUD Call Put Strangle OptionQuantFX Trade Engine Call Spread 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 Short Put Spread JPY GBP CHF CAD 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