FX Trading Strategies for October 22, 2018 (based on closing prices for October 19, 2018) FX Pair 1 Volatility 2 Skew 3 Correlation 4 Trades Best Trade Today oqti oqvi oqsi oqti vs. oqvi AUD/USD.71150 10 Bear! 79 Rich 18 Puts -0.38 Sell! Short Call Spread GBP/USD 1.30640 26 Bear 81 Rich 0 Puts! -0.52 Sell Short Call Spread USD/CAD 1.30990 74 Bull 24 Cheap 35 Puts +0.45 Buy Call EUR/USD 1.15130 5 OS 87 Rich 7 Puts! -0.69 Wait Short Call Spread USD/JPY 112.503 58 Flat 79 Rich 47 Even -0.53 Wait Short Condor USD/CHF.99600 98 OB 53 Fair 85 Calls +0.37 Wait 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 October 22, 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).71150 10 Sell!.70518 -.00632.71505 +.00355 6-Dec 79 18 Short Call Spread.740.725 (.00229) (229) (.00060) 169 (.00361) (132) GBP/USD (100,000 British Pound vs. US Dollar) 1.30640 26 Sell 1.29462 -.01178 1.31302 +.00662 6-Dec 81 0 Short Call Spread 1.360 1.330 (.00541) (541) (.00142) 399 (.00826) (285) USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.30990 74 Buy 1.32018 +.01028 1.30413 -.00577 6-Dec 24 35 Call 1.330.00543 415.01096 422.00219 (247) EUR/USD (100,000 Euro vs. US Dollar) 1.15130 5 Wait 6-Dec 87 7 Short Call Spread 1.190 1.165 (.00419) (419) (.00110) 309 (.00642) (223) USD/JPY (100,000 US Dollar vs. Japanese Yen) 112.503 58 Wait 6-Dec 79 47 Short Condor 109.0 111.0 116.0 114.0 (.616) (548) (.255) 321 (.940) (288) USD/CHF (100,000 US Dollar vs. Swiss Franc).99600 98 Wait 6-Dec 53 85 Short Put Spread.965.985 (.00327) (328) (.00086) 242 (.00499) (173) 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 October 22, 2018 Page 3 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 AUD/USD (100,000 Australian Dollar vs. US Dollar).71150 10 Sell!.70518 -.00632.71505 +.00355 6-Dec 79 18 Short Call Spread.740.725 (.00229) (229) (.00060) 169 (.00361) (132) AUDUSD.71150 0.7475 AUDUSD Short Call Spread Profit & Loss +.740C/-.725C 6-Dec 14-Nov 22-Oct 0.004 0.7375 0.7275 0.002 0.7175 0.7075 0 AUDUSD Volatility oqhv AtM IV 8.65% 0.6975-0.002 9.70% 9.20% -0.004 8.70% 8.20% -0.006 7.70% -0.008 AUDUSD Skew vs. Delta 1Y Avg -10-25 AtM +25 +10 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% -0.20% -0.40% -0.60% -0.01-0.012-0.014.67500.68750.70000.71250.72500.73750.75000.76250.77500 AUDUSD
Trading Strategies Based on Closing Prices for October 22, 2018 Page 4 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 GBP/USD (100,000 British Pound vs. US Dollar) 1.30640 26 Sell 1.29462 -.01178 1.31302 +.00662 6-Dec 81 0 Short Call Spread 1.360 1.330 (.00541) (541) (.00142) 399 (.00826) (285) GBPUSD 1.30640 1.3325 GBPUSD Short Call Spread Profit & Loss +1.360C/-1.330C 6-Dec 14-Nov 22-Oct 1.3175 0.006 1.3025 0.003 1.2875 1.2725 0 1.2575-0.003 GBPUSD Volatility oqhv AtM IV 9.81% 9.40% -0.006 8.50% -0.009 7.60% 6.70% -0.012 5.80% -0.015 GBPUSD Skew vs. Delta 1Y Avg -10-25 AtM +25 +10 2.50% 2.10% 1.70% 1.30% 0.90% 0.50% 0.10% -0.30% -0.70% -1.10% -0.018-0.021-0.024-0.027 1.28000 1.29250 1.30500 1.31750 1.33000 1.34250 1.35500 1.36750 1.38000 GBPUSD
Trading Strategies Based on Closing Prices for October 22, 2018 Page 5 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/CAD (100,000 US Dollar vs. Canadian Dollar) 1.30990 74 Buy 1.32018 +.01028 1.30413 -.00577 6-Dec 24 35 Call 1.330.00543 415.01096 422.00219 (247) USDCAD 1.30990 USDCAD Call Profit & Loss +1.330C 6-Dec 14-Nov 22-Oct 1.3225 0.013 1.31 1.2975 0.011 USDCAD Volatility oqhv AtM IV 6.70% 1.285 1.2725 0.009 0.007 7.50% 7.10% 0.005 6.70% 6.30% 0.003 5.90% 0.001 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% -0.001-0.003-0.005-0.007 1.29000 1.29625 1.30250 1.30875 1.31500 1.32125 1.32750 1.33375 1.34000 USDCAD
Trading Strategies Based on Closing Prices for October 22, 2018 Page 6 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 EUR/USD (100,000 Euro vs. US Dollar) 1.15130 5 Wait 6-Dec 87 7 Short Call Spread 1.190 1.165 (.00419) (419) (.00110) 309 (.00642) (223) EURUSD 1.15130 1.185 EURUSD Short Call Spread Profit & Loss +1.190C/-1.165C 6-Dec 14-Nov 22-Oct 1.1725 1.16 0.004 1.1475 0.001 1.135 1.1225-0.002 EURUSD Volatility oqhv AtM IV 7.12% 7.90% -0.005 7.40% 6.90% -0.008 6.40% 5.90% EURUSD Skew vs. Delta 1Y Avg 1.50% 1.30% 1.10% 0.90% 0.70% 0.50% 0.30% 0.10% -0.10% -0.30% -10-25 AtM +25 +10-0.50% -0.011-0.014-0.017-0.02-0.023 1.1150 1.1275 1.1400 1.1525 1.1650 1.1775 1.1900 1.2025 1.2150 EURUSD
Trading Strategies Based on Closing Prices for October 22, 2018 Page 7 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/JPY (100,000 US Dollar vs. Japanese Yen) 112.503 58 Wait 6-Dec 79 47 Short Condor 109.0 111.0 116.0 114.0 (.616) (548) (.255) 321 (.940) (288) USDJPY 112.503 USDJPY Short Condor Profit & Loss +116.0C/-114.0C +109.0P/-111.0P 6-Dec 14-Nov 22-Oct 114.25 113 111.75 110.5 0.7 0.5 0.3 USDJPY Volatility oqhv AtM IV 6.64% 109.25 8.20% 0.1 7.50% -0.1 6.80% 6.10% 5.40% -0.3-0.5 4.70% -0.7 USDJPY Skew vs. Delta 1Y Avg 1.90% 1.60% 1.30% 1.00% 0.70% 0.40% 0.10% -0.20% -10-25 AtM +25 +10-0.50% -0.9-1.1-1.3-1.5 107.500 108.750 110.000 111.250 112.500 113.750 115.000 116.250 117.500 USDJPY
Trading Strategies Based on Closing Prices for October 22, 2018 Page 8 of 10 1 1 Volatility Puts Calls Entry Price 1 1 1 USD/CHF (100,000 US Dollar vs. Swiss Franc).99600 98 Wait 6-Dec 53 85 Short Put Spread.965.985 (.00327) (328) (.00086) 242 (.00499) (173) USDCHF.99600 USDCHF Short Put Spread Profit & Loss +.965P/-.985P 6-Dec 14-Nov 22-Oct 0.9975 0.004 0.985 0.9725 0.002 0.96 0 USDCHF Volatility oqhv AtM IV 6.32% 0.9475-0.002 6.70% -0.004 6.20% 5.70% -0.006 5.20% -0.008 4.70% -0.01 USDCHF 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% -0.012-0.014-0.016-0.018.93500.94750.96000.97250.98500.99750 1.01000 1.02250 1.03500 USDCHF
Trading Strategies Based on Closing Prices for October 22, 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 CAD Call Spread Butterfly Put Spread CHF Short Put Spread (oqsi > 50) or Call Spread (oqsi < 50) Iron Condor Put Spread (oqsi > 50) or Short Call Spread (oqsi < 50) Cheap! Cheap Fair Rich Short Put Spread Short Iron Condor Short Call Spread Short Butterfly 0 10 20 30 40 50 60 70 80 90 100 OptionQuantFX Volatility Index (oqvi) JPY GBP AUD EUR 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