FX Trading Strategies for September 5, 2018 (based on closing prices for September 4, 2018) FX Pair 1 Volatility 2 Skew 3 Correlation 4 Trades Best Trade Today oqti oqvi oqsi oqti vs. oqvi AUD/USD.72040 12 Bear! 22 Cheap 5 Puts! -0.76 Sell! Put GBP/USD 1.28500 51 Flat 84 Rich 9 Puts! -0.43 Wait Short Condor USD/CAD 1.31110 74 Bull 83 Rich 71 Calls +0.46 Buy Short Put Spread EUR/USD 1.15740 51 Flat 71 Rich 2 Puts! -0.79 Wait Short Condor USD/JPY 111.356 63 Bull 93 Rich! 15 Puts -0.48 Buy Short Put Spread USD/CHF.97170 7 Bear! 97 Rich! 61 Calls -0.18 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 September 5, 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).72040 12 Sell!.71288 -.00752.72462 +.00422 1-Nov 22 5 Put.710.00372 372.00817 445.00122 (250) GBP/USD (100,000 British Pound vs. US Dollar) 1.28500 51 Wait 1-Nov 84 9 Short Condor 1.245 1.270 1.325 1.300 (.00958) (958) (.00202) 756 (.01462) (504) USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.31110 74 Buy 1.32105 +.00995 1.30551 -.00559 1-Nov 83 71 Short Put Spread 1.275 1.295 (.00332) (253) (.00088) 186 (.00533) (153) EUR/USD (100,000 Euro vs. US Dollar) 1.15740 51 Wait 1-Nov 71 2 Short Condor 1.125 1.145 1.190 1.170 (.00699) (699) (.00147) 552 (.01067) (368) USD/JPY (100,000 US Dollar vs. Japanese Yen) 111.356 63 Buy 112.032 +.676 110.976 -.380 1-Nov 93 15 Short Put Spread 108.0 110.0 (.282) (253) (.074) 187 (.431) (134) USD/CHF (100,000 US Dollar vs. Swiss Franc).97170 7 Sell!.96617 -.00553.97481 +.00311 1-Nov 97 61 Short Call Spread.995.980 (.00294) (303) (.00078) 222 (.00448) (158) 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 September 5, 2018 Page 3 of 10 Puts Calls Entry Price 1 1 1 AUD/USD (100,000 Australian Dollar vs. US Dollar).72040 12 Sell!.71288 -.00752.72462 +.00422 1-Nov 22 5 Put.710.00372 372.00817 445.00122 (250) AUDUSD.72040 AUDUSD Put Profit & Loss +.710P 1-Nov 8-Oct 5-Sep 0.7625 0.013 0.75 0.7375 0.011 0.725 0.7125 0.009 AUDUSD Volatility oqhv AtM IV 9.15% 9.80% 0.007 9.40% 9.00% 8.60% 8.20% 0.005 0.003 7.80% AUDUSD Skew vs. Delta 1Y Avg 2.00% -10-25 AtM +25 +10 1.70% 1.40% 1.10% 0.80% 0.50% 0.20% -0.10% -0.40% -0.70% 0.001-0.001-0.003-0.005.69500.70125.70750.71375.72000.72625.73250.73875.74500 AUDUSD
Trading Strategies Based on Closing Prices for September 5, 2018 Page 4 of 10 Puts Calls Entry Price 1 1 1 GBP/USD (100,000 British Pound vs. US Dollar) 1.28500 51 Wait 1-Nov 84 9 Short Condor 1.245 1.270 1.325 1.300 (.00958) (958) (.00202) 756 (.01462) (504) GBPUSD 1.28500 GBPUSD Short Condor Profit & Loss +1.325C/-1.300C +1.245P/-1.270P 1-Nov 8-Oct 5-Sep 1.3375 1.3175 1.2975 1.2775 0.01 0.007 GBPUSD Volatility oqhv AtM IV 9.14% 1.2575 8.80% 7.90% 7.00% 0.004 0.001-0.002 6.10% 5.20% GBPUSD 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% -0.005-0.008-0.011-0.014-0.017 1.23500 1.24750 1.26000 1.27250 1.28500 1.29750 1.31000 1.32250 1.33500 GBPUSD
Trading Strategies Based on Closing Prices for September 5, 2018 Page 5 of 10 Puts Calls Entry Price 1 1 1 USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.31110 74 Buy 1.32105 +.00995 1.30551 -.00559 1-Nov 83 71 Short Put Spread 1.275 1.295 (.00332) (253) (.00088) 186 (.00533) (153) USDCAD 1.31110 USDCAD Short Put Spread Profit & Loss +1.275P/-1.295P 1-Nov 8-Oct 5-Sep 1.3275 0.004 1.3125 1.2975 0.002 1.2825 0 USDCAD Volatility oqhv AtM IV 7.46% 1.2675-0.002 7.40% -0.004 7.00% 6.60% -0.006 6.20% -0.008 5.80% -0.01 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% -0.20% -10-25 AtM +25 +10-0.30% -0.012-0.014-0.016-0.018 1.25000 1.26250 1.27500 1.28750 1.30000 1.31250 1.32500 1.33750 1.35000 USDCAD
Trading Strategies Based on Closing Prices for September 5, 2018 Page 6 of 10 Puts Calls Entry Price 1 1 1 EUR/USD (100,000 Euro vs. US Dollar) 1.15740 51 Wait 1-Nov 71 2 Short Condor 1.125 1.145 1.190 1.170 (.00699) (699) (.00147) 552 (.01067) (368) EURUSD 1.15740 EURUSD Short Condor Profit & Loss +1.190C/-1.170C +1.125P/-1.145P 1-Nov 8-Oct 5-Sep 1.185 1.1725 0.008 1.16 1.1475 1.135 0.006 0.004 EURUSD Volatility oqhv AtM IV 7.65% 1.1225 0.002 8.00% 0 7.60% 7.20% 6.80% -0.002-0.004 6.40% -0.006 EURUSD Skew vs. Delta 1Y Avg 1.70% 1.40% 1.10% 0.80% 0.50% 0.20% -0.10% -0.40% -10-25 AtM +25 +10-0.70% -0.008-0.01-0.012-0.014 1.1100 1.1225 1.1350 1.1475 1.1600 1.1725 1.1850 1.1975 1.2100 EURUSD
Trading Strategies Based on Closing Prices for September 5, 2018 Page 7 of 10 Puts Calls Entry Price 1 1 1 USD/JPY (100,000 US Dollar vs. Japanese Yen) 111.356 63 Buy 112.032 +.676 110.976 -.380 1-Nov 93 15 Short Put Spread 108.0 110.0 (.282) (253) (.074) 187 (.431) (134) USDJPY 111.356 USDJPY Short Put Spread Profit & Loss +108.0P/-110.0P 1-Nov 8-Oct 5-Sep 112.5 111.25 110 108.75 0.3 0.1-0.1 USDJPY Volatility oqhv AtM IV 7.19% 107.5-0.3 7.90% -0.5 7.20% 6.50% -0.7 5.80% -0.9 5.10% -1.1 USDJPY Skew vs. Delta 1Y Avg -10-25 AtM +25 +10 2.30% 2.00% 1.70% 1.40% 1.10% 0.80% 0.50% 0.20% -0.10% -0.40% -0.70% -1.3-1.5-1.7-1.9 105.000 106.250 107.500 108.750 110.000 111.250 112.500 113.750 115.000 USDJPY
Trading Strategies Based on Closing Prices for September 5, 2018 Page 8 of 10 Puts Calls Entry Price 1 1 1 USD/CHF (100,000 US Dollar vs. Swiss Franc).97170 7 Sell!.96617 -.00553.97481 +.00311 1-Nov 97 61 Short Call Spread.995.980 (.00294) (303) (.00078) 222 (.00448) (158) USDCHF.97170 1.01 USDCHF Short Call Spread Profit & Loss +.995C/-.980C 1-Nov 8-Oct 5-Sep 0.005 1 0.99 0.003 0.98 0.97 0.001 0.96 USDCHF Volatility oqhv AtM IV 6.96% 7.10% -0.001 6.50% -0.003 5.90% 5.30% -0.005 4.70% -0.007 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% -0.009-0.011-0.013.95500.96125.96750.97375.98000.98625.99250.99875 1.00500 USDCHF
Trading Strategies Based on Closing Prices for September 5, 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 AUD 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 CAD GBP JPY CHF 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