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 15-Nov 10 1 Put.700.00272 272.00601 329.00084 (188) GBP/USD (100,000 British Pound vs. US Dollar) 1.30620 89 Buy! 1.31704 +.01084 1.30011 -.00609 15-Nov 84 19 Short Put Spread 1.260 1.290 (.00528) (528) (.00139) 389 (.00806) (278) USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.30340 46 Wait 15-Nov 67 55 Short Condor 1.270 1.290 1.340 1.320 (.00711) (545) (.00150) 430 (.01085) (287) EUR/USD (100,000 Euro vs. US Dollar) 1.16220 84 Buy! 1.17110 +.00890 1.15720 -.00500 15-Nov 56 7 Call Spread 1.170 1.185.00423 423.00822 399.00184 (239) USD/JPY (100,000 US Dollar vs. Japanese Yen) 112.029 84 Buy! 112.713 +.684 111.645 -.384 15-Nov 89 19 Short Put Spread 108.5 111.0 (.379) (338) (.100) 249 (.579) (179) USD/CHF (100,000 US Dollar vs. Swiss Franc).96720 4 Wait 15-Nov 75 36 Short Call Spread.990.975 (.00279) (288) (.00073) 213 (.00433) (159) 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 15-Nov 10 1 Put.700.00272 272.00601 329.00084 (188) AUDUSD.71500 0.76 AUDUSD Put Profit & Loss +.700P 10-Nov 14-Oct 17-Sep 0.012 0.745 0.01 0.73 0.715 0.008 0.7 AUDUSD Volatility oqhv AtM IV 8.97% 9.80% 0.006 9.30% 8.80% 8.30% 0.004 7.80% 0.002 AUDUSD 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% 0-0.002-0.004.69000.69625.70250.70875.71500.72125.72750.73375.74000 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 15-Nov 84 19 Short Put Spread 1.260 1.290 (.00528) (528) (.00139) 389 (.00806) (278) GBPUSD 1.30620 1.345 1.3275 1.31 GBPUSD Short Put Spread Profit & Loss +1.260P/-1.290P 10-Nov 14-Oct 17-Sep 0.006 0.003 1.2925 1.275 0 1.2575-0.003 GBPUSD Volatility oqhv AtM IV 9.19% 9.10% -0.006 8.10% -0.009 7.10% 6.10% -0.012 5.10% -0.015 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% -0.018-0.021-0.024-0.027 1.24000 1.25250 1.26500 1.27750 1.29000 1.30250 1.31500 1.32750 1.34000 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 15-Nov 67 55 Short Condor 1.270 1.290 1.340 1.320 (.00711) (545) (.00150) 430 (.01085) (287) USDCAD 1.30340 USDCAD Short Condor Profit & Loss +1.340C/-1.320C +1.270P/-1.290P 10-Nov 14-Oct 17-Sep 1.33 1.3175 1.305 1.2925 0.008 0.006 0.004 USDCAD Volatility oqhv AtM IV 7.39% 1.28 0.002 7.40% 0 7.00% 6.60% 6.20% -0.002-0.004 5.80% -0.006 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% -0.008-0.01-0.012-0.014 1.25500 1.26750 1.28000 1.29250 1.30500 1.31750 1.33000 1.34250 1.35500 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 15-Nov 56 7 Call Spread 1.170 1.185.00423 423.00822 399.00184 (239) EURUSD EURUSD Volatility oqhv AtM IV 1.16220 7.08% 1.185 1.1725 1.16 1.1475 1.135 1.1225 EURUSD Call Spread Profit & Loss +1.170C/-1.185C 10-Nov 14-Oct 17-Sep 0.011 0.009 0.007 8.00% 7.60% 7.20% 6.80% 0.005 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 15-Nov 89 19 Short Put Spread 108.5 111.0 (.379) (338) (.100) 249 (.579) (179) USDJPY 112.029 USDJPY Short Put Spread Profit & Loss +108.5P/-111.0P 10-Nov 14-Oct 17-Sep 112.75 0.4 111.75 110.75 0.1 109.75-0.2 108.75 USDJPY Volatility oqhv AtM IV 7.01% 7.90% -0.5 7.20% -0.8 6.50% 5.80% -1.1 5.10% 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% -1.4-1.7-2 -2.3 106.000 107.250 108.500 109.750 111.000 112.250 113.500 114.750 116.000 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 15-Nov 75 36 Short Call Spread.990.975 (.00279) (288) (.00073) 213 (.00433) (159) USDCHF.96720 1.0075 USDCHF Short Call Spread Profit & Loss +.990C/-.975C 10-Nov 14-Oct 17-Sep 0.9975 0.003 0.9875 0.9775 0.001 0.9675 0.9575-0.001 USDCHF Volatility oqhv AtM IV 6.36% 6.70% 6.20% 5.70% 5.20% 4.70% -0.003-0.005-0.007 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% -0.009-0.011-0.013.95000.95625.96250.96875.97500.98125.98750.99375 1.00000 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