FX Trading Strategies for September 17, 2018 (based on closing prices for September 14, 2018) FX Pair 1 Volatility 2 Skew 3 Correlation 4 Trades Best Trade Today oqti oqvi oqsi oqti vs. oqvi AUD/USD.71500 24 Bear 10 Cheap 1 Puts! -0.77 Sell Put GBP/USD 1.30620 89 Bull! 84 Rich 19 Puts -0.18 Buy! Short Put Spread USD/CAD 1.30340 46 Flat 67 Rich 55 Even -0.12 Wait Short Condor EUR/USD 1.16220 84 Bull! 56 Fair 7 Puts! -0.69 Buy! Call Spread USD/JPY 112.029 84 Bull! 89 Rich 19 Puts -0.26 Buy! Short Put Spread USD/CHF.96720 4 OS 75 Rich 36 Puts +0.12 Wait 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 17, 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).71500 24 Sell.70735 -.00765.71929 +.00429 1-Nov 10 1 Put.700.00406 406.00773 367.00177 (229) GBP/USD (100,000 British Pound vs. US Dollar) 1.30620 89 Buy! 1.31704 +.01084 1.30011 -.00609 1-Nov 84 19 Short Put Spread 1.245 1.285 (.00626) (626) (.00165) 461 (.00956) (330) USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.30340 46 Wait 1-Nov 67 55 Short Condor 1.260 1.285 1.345 1.320 (.00878) (674) (.00393) 372 (.01340) (354) EUR/USD (100,000 Euro vs. US Dollar) 1.16220 84 Buy! 1.17110 +.00890 1.15720 -.00500 1-Nov 56 7 Call Spread 1.175 1.190.00380 380.00709 329.00191 (189) USD/JPY (100,000 US Dollar vs. Japanese Yen) 112.029 84 Buy! 112.713 +.684 111.645 -.384 1-Nov 89 19 Short Put Spread 107.5 110.5 (.387) (345) (.102) 254 (.591) (182) USD/CHF (100,000 US Dollar vs. Swiss Franc).96720 4 Wait 1-Nov 75 36 Short Call Spread.995.980 (.00237) (245) (.00063) 180 (.00361) (128) 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 17, 2018 Page 3 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 AUD/USD (100,000 Australian Dollar vs. US Dollar).71500 24 Sell.70735 -.00765.71929 +.00429 1-Nov 10 1 Put.700.00406 406.00773 367.00177 (229) AUDUSD.71500 AUDUSD Put Profit & Loss +.700P 1-Nov 14-Oct 17-Sep 0.76 0.745 0.73 0.011 0.009 0.715 0.7 0.007 AUDUSD Volatility oqhv AtM IV 8.97% 9.80% 9.30% 0.005 8.80% 8.30% 0.003 7.80% 0.001 AUDUSD Skew vs. Delta 1Y Avg -10-25 AtM +25 +10 1.70% 1.40% 1.10% 0.80% 0.50% 0.20% -0.10% -0.40% -0.70% -0.001-0.003-0.005.69000.69625.70250.70875.71500.72125.72750.73375.74000 AUDUSD
Trading Strategies Based on Closing Prices for September 17, 2018 Page 4 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 GBP/USD (100,000 British Pound vs. US Dollar) 1.30620 89 Buy! 1.31704 +.01084 1.30011 -.00609 1-Nov 84 19 Short Put Spread 1.245 1.285 (.00626) (626) (.00165) 461 (.00956) (330) GBPUSD 1.30620 1.345 GBPUSD Short Put Spread Profit & Loss +1.245P/-1.285P 1-Nov 14-Oct 17-Sep 0.008 1.3275 1.31 0.003 1.2925 1.275-0.002 1.2575 GBPUSD Volatility oqhv AtM IV 9.19% -0.007 9.10% 8.10% -0.012 7.10% 6.10% -0.017 5.10% -0.022 GBPUSD 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% -0.027-0.032-0.037 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 17, 2018 Page 5 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.30340 46 Wait 1-Nov 67 55 Short Condor 1.260 1.285 1.345 1.320 (.00878) (674) (.00393) 372 (.01340) (354) USDCAD 1.30340 USDCAD Short Condor Profit & Loss +1.345C/-1.320C +1.260P/-1.285P 1-Nov 14-Oct 17-Sep 1.33 1.3175 0.009 1.305 1.2925 0.006 USDCAD Volatility oqhv AtM IV 7.39% 1.28 7.40% 0.003 0 7.00% 6.60% 6.20% 5.80% 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% -0.003-0.006-0.009-0.012-0.015-0.018 1.20500 1.23000 1.25500 1.28000 1.30500 1.33000 1.35500 1.38000 1.40500 USDCAD
Trading Strategies Based on Closing Prices for September 17, 2018 Page 6 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 EUR/USD (100,000 Euro vs. US Dollar) 1.16220 84 Buy! 1.15720 -.00500 1.17110 +.00890 1-Nov 56 7 Call Spread 1.175 1.190.00380 380.00709 329.00191 (189) EURUSD 1.16220 1.185 EURUSD Call Spread Profit & Loss +1.175C/-1.190C 1-Nov 14-Oct 17-Sep 0.013 1.1725 1.16 0.011 1.1475 1.135 0.009 1.1225 EURUSD Volatility oqhv AtM IV 7.08% 0.007 8.00% 7.60% 0.005 7.20% 6.80% 0.003 6.40% 0.001 EURUSD Skew vs. Delta 1Y Avg -10-25 AtM +25 +10 1.30% 1.10% 0.90% 0.70% 0.50% 0.30% 0.10% -0.10% -0.30% -0.50% -0.001-0.003-0.005 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 September 17, 2018 Page 7 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/JPY (100,000 US Dollar vs. Japanese Yen) 112.029 84 Buy! 112.713 +.684 111.645 -.384 1-Nov 89 19 Short Put Spread 107.5 110.5 (.387) (345) (.102) 254 (.591) (182) USDJPY 112.029 USDJPY Short Put Spread Profit & Loss +107.5P/-110.5P 1-Nov 14-Oct 17-Sep 112.75 111.75 0.3 110.75 109.75-0.1 USDJPY Volatility oqhv AtM IV 7.01% 108.75-0.5 7.90% 7.20% -0.9 6.50% 5.80% -1.3 5.10% -1.7 USDJPY Skew vs. Delta 1Y Avg 2.40% 2.10% 1.80% 1.50% 1.20% 0.90% 0.60% 0.30% 0.00% -0.30% -10-25 AtM +25 +10-0.60% -2.1-2.5-2.9 105.500 106.750 108.000 109.250 110.500 111.750 113.000 114.250 115.500 USDJPY
Trading Strategies Based on Closing Prices for September 17, 2018 Page 8 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/CHF (100,000 US Dollar vs. Swiss Franc).96720 4 Wait 1-Nov 75 36 Short Call Spread.995.980 (.00237) (245) (.00063) 180 (.00361) (128) USDCHF.96720 1.0075 USDCHF Short Call Spread Profit & Loss +.995C/-.980C 1-Nov 14-Oct 17-Sep 0.004 0.9975 0.9875 0.002 0.9775 0.9675 0 0.9575 USDCHF Volatility oqhv AtM IV 6.36% -0.002 6.70% 6.20% -0.004 5.70% 5.20% -0.006 4.70% -0.008 USDCHF 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% -0.01-0.012-0.014.93000.94250.95500.96750.98000.99250 1.00500 1.01750 1.03000 USDCHF
Trading Strategies Based on Closing Prices for September 17, 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 CAD Short Put Spread CHF GBP JPY 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