FX Trading Strategies for August 9, 2018 (based on closing prices for August 8, 2018) FX Pair 1 Volatility 2 Skew 3 Correlation 4 Trades Best Trade Today oqti oqvi oqsi oqti vs. oqvi AUD/USD.74310 66 Bull 7 Cheap! 15 Puts -0.49 Buy Call GBP/USD 1.28830 9 Bear! 90 Rich 0 Puts! -0.65 Sell! Short Call Spread USD/CAD 1.30170 20 Bear 97 Rich! 17 Puts +0.51 Sell Short Call Spread EUR/USD 1.16110 38 Bear 53 Fair 0 Puts! -0.62 Sell Short Call Spread USD/JPY 110.904 26 Bear 76 Rich 24 Puts -0.54 Sell Short Call Spread USD/CHF.99290 41 Flat 79 Rich 98 Calls! +0.45 Wait Short 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 August 9, 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).74310 66 Buy.74990 +.00680.73928 -.00382 4-Oct 7 15 Call.755.00217 217.00600 383.00047 (170) GBP/USD (100,000 British Pound vs. US Dollar) 1.28830 9 Sell! 1.27907 -.00923 1.29348 +.00518 4-Oct 90 0 Short Call Spread 1.325 1.305 (.00341) (341) (.00090) 251 (.00529) (188) USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.30170 20 Sell 1.29280 -.00890 1.30670 +.00500 4-Oct 97 17 Short Call Spread 1.335 1.315 (.00346) (266) (.00091) 196 (.00531) (142) EUR/USD (100,000 Euro vs. US Dollar) 1.16110 38 Sell 1.15258 -.00852 1.16589 +.00479 4-Oct 53 0 Short Call Spread 1.190 1.175 (.00238) (238) (.00062) 176 (.00413) (175) USD/JPY (100,000 US Dollar vs. Japanese Yen) 110.904 26 Sell 110.193 -.711 111.304 +.400 4-Oct 76 24 Short Call Spread 113.5 112.0 (.277) (250) (.073) 184 (.435) (142) USD/CHF (100,000 US Dollar vs. Swiss Franc).99290 41 Wait 4-Oct 79 98 Short Condor.970.985 1.015 1.000 (.00540) (544) (.00114) 429 (.00824) (286) 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 9, 2018 Page 3 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 AUD/USD (100,000 Australian Dollar vs. US Dollar).74310 66 Buy.74990 +.00680.73928 -.00382 4-Oct 7 15 Call.755.00217 217.00600 383.00047 (170) AUDUSD.74310 AUDUSD Call Profit & Loss +.755C 4-Oct 6-Sep 8-Aug 0.765 0.015 0.755 0.745 0.013 0.735 0.725 0.011 AUDUSD Volatility oqhv AtM IV 7.73% 9.10% 0.009 8.70% 8.30% 0.007 7.90% 7.50% 0.005 7.10% 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% 0.003 0.001-0.001-0.003.72000.72625.73250.73875.74500.75125.75750.76375.77000 AUDUSD
Trading Strategies Based on Closing Prices for August 9, 2018 Page 4 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 GBP/USD (100,000 British Pound vs. US Dollar) 1.28830 9 Sell! 1.27907 -.00923 1.29348 +.00518 4-Oct 90 0 Short Call Spread 1.325 1.305 (.00341) (341) (.00090) 251 (.00529) (188) GBPUSD 1.28830 GBPUSD Short Call Spread Profit & Loss +1.325C/-1.305C 4-Oct 6-Sep 8-Aug 1.365 0.004 1.3425 1.32 0.002 1.2975 0 GBPUSD Volatility oqhv AtM IV 8.05% 1.275-0.002 8.40% -0.004 7.60% 6.80% -0.006 6.00% -0.008 5.20% -0.01 GBPUSD Skew vs. Delta 1Y Avg -10-25 AtM +25 +10 1.90% 1.60% 1.30% 1.00% 0.70% 0.40% 0.10% -0.20% -0.50% -0.80% -0.012-0.014-0.016-0.018 1.25500 1.26750 1.28000 1.29250 1.30500 1.31750 1.33000 1.34250 1.35500 GBPUSD
Trading Strategies Based on Closing Prices for August 9, 2018 Page 5 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.30170 20 Sell 1.29280 -.00890 1.30670 +.00500 4-Oct 97 17 Short Call Spread 1.335 1.315 (.00346) (266) (.00091) 196 (.00531) (142) USDCAD 1.30170 1.34 USDCAD Short Call Spread Profit & Loss +1.335C/-1.315C 4-Oct 6-Sep 8-Aug 1.325 0.004 1.31 0.002 1.295 1.28 0 USDCAD Volatility oqhv AtM IV 7.00% 1.265-0.002 7.50% -0.004 7.10% 6.70% -0.006 6.30% -0.008 5.90% -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% -10-25 AtM +25 +10-0.20% -0.012-0.014-0.016-0.018 1.26500 1.27750 1.29000 1.30250 1.31500 1.32750 1.34000 1.35250 1.36500 USDCAD
Trading Strategies Based on Closing Prices for August 9, 2018 Page 6 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 EUR/USD (100,000 Euro vs. US Dollar) 1.16110 38 Sell 1.16589 +.00479 1.15258 -.00852 4-Oct 53 0 Short Call Spread 1.190 1.175 (.00238) (238) (.00062) 176 (.00413) (175) EURUSD 1.16110 1.2175 EURUSD Short Call Spread Profit & Loss +1.190C/-1.175C 4-Oct 6-Sep 8-Aug 0.004 1.2025 1.1875 0.002 1.1725 1.1575 0 EURUSD Volatility oqhv AtM IV 6.83% 1.1425-0.002 8.10% 7.50% -0.004 6.90% 6.30% -0.006 5.70% -0.008 EURUSD 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% -0.40% -10-25 AtM +25 +10-0.60% -0.01-0.012-0.014 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 9, 2018 Page 7 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/JPY (100,000 US Dollar vs. Japanese Yen) 110.904 26 Sell 110.193 -.711 111.304 +.400 4-Oct 76 24 Short Call Spread 113.5 112.0 (.277) (250) (.073) 184 (.435) (142) USDJPY 110.904 USDJPY Short Call Spread Profit & Loss +113.5C/-112.0C 4-Oct 6-Sep 8-Aug 112.5 111.25 110 108.75 0.3 0.1 107.5-0.1 USDJPY Volatility oqhv AtM IV 6.85% 8.40% 7.80% -0.3 7.20% 6.60% 6.00% 5.40% -0.5-0.7 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% -0.9-1.1-1.3 107.000 108.250 109.500 110.750 112.000 113.250 114.500 115.750 117.000 USDJPY
Trading Strategies Based on Closing Prices for August 9, 2018 Page 8 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/CHF (100,000 US Dollar vs. Swiss Franc).99290 41 Wait 4-Oct 79 98 Short Condor.970.985 1.015 1.000 (.00540) (544) (.00114) 429 (.00824) (286) USDCHF.99290 USDCHF Short Condor Profit & Loss +1.015C/-1.000C +.970P/-.985P 4-Oct 6-Sep 8-Aug 1.005 0.9975 0.006 0.99 0.9825 0.004 USDCHF Volatility oqhv AtM IV 6.03% 0.975 7.30% 6.60% 0.002 0 5.90% 5.20% -0.002 4.50% -0.004 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% -0.006-0.008-0.01.94500.95750.97000.98250.99500 1.00750 1.02000 1.03250 1.04500 USDCHF
Trading Strategies Based on Closing Prices for August 9, 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 AUD Straddle 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 CHF GBP 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