Forex Spot & CME Futures Options Analysis by InvestingPit

In this topic you’ll find lots of info and analysis based on price action in forex spot and CME futures options.

Why analysing options?

Simply cause changes in implied volatility of options could tell us what’s expected to happen in spot and futures markets before move actually happen.

Another reason why InvestingPit website and blog was created is simply cause not many (if any at all) track and post daily changes in options markets and how this reflects key markets like euro, gold, silver, crude oil and SP500.

How to get access to read InvestingPit options analysis?

You can read them:
a) in this forum topic,
b) on InvestingPit blog by visiting our website at https://InvestingPit.com
c) subscribing to InvestingPit rss feed,

Settled date: Mar 23rd 2016.

Analysis for CME futures options is based on daily changes in options implied volatility.

We’ll look into changes in At-The-Money (ATM) and 25 Delta Risk Reversals for 1 month options implied volatility for 3 most recent monthly CME futures options contracts.

Market’s analysis for options on CME futures markets include: crude oil (CL), E-mini SP500 (ES), Gold (GC), silver (SI) and euro (6E).


With all 5 markets: crude oil, SP500, gold, silver and euro having price of their futures markets drop it came of no surprise that 25 delta risk reversal for all markets turned more negative (increased bearish sentiment).

Since futures prices of all 5 markets dropped a lot looking 1 day change and bearish sentiment across the board there’s no edge entering short position at current prices, neither is it a good time to be looking for a counter trend trade entry.

Time to sit on the sidelines for now.

Big AUDUSD spot options expiry on Monday, Mar 28th 2016 worth AUD 1.3bln at 0.7520 which could have a magnetic effect on making AUDUSD spot price to hover around 0.75 going into Easter weekend.

Current spot price 0.7489

On Monday, Mar 28th 2016 monthly gold futures options expiration day for OGJ6.

Max option pain for OGJ6 options contract is between $1,200-$1,225.

Currently gold spot price XAU/USD around $1,216

On Monday, Mar 28th 2016 monthly silver futures options expiration day for SOJ6.

Max option pain for SOJ6 options contract is between $15.00-$15.50

Currently silver spot price XAG/USD around $15.17

We’ll look into changes in At-The-Money (ATM) and 25 Delta Risk Reversals for 1 month options implied volatility for 3 most recent monthly CME futures options contracts.


What has happened in last 1 trading day through price action of CME futures options?

We can see increase in bearish sentiment in crude oil and silver market.

For a market commentary VISIT full version of this analysis on our blog post at
https://investingpit.com/options-implied-volatility-analysis-2016-mar-24th/

We posted here few hours ago about max option pain area for OGJ6 options on Gold Apr 2016 futures contract that has monthly option expiration day on Monday, Mar 28th 2016.

Now we are posting a screenshot for more visual presentation to back our words.


For option writers (usually big banks) it would be ideally if Gold Apr 2016 futures price would settle on Monday, Mar 28th 2016 around or slightly below $1,200 so now we have few days left to sit and wait how this monthly option expiration will end.

Currently spot gold price XAU/USD is around $1,216

Original size of this screenshot has been resized in this topic so for full size you better visit original blog post at https://investingpit.com/cme-max-option-pain-analysis-for-ogj6-gold/

We posted here 2 days ago about max option pain area for SOJ6 options on Silver May 2016 futures contract that has monthly option expiration day on Monday, Mar 28th 2016.

Now we are posting a screenshot for more visual presentation to back our words.


For option writers (usually big banks) it would be ideally if Silver May 2016 futures price would settle on Monday, Mar 28th 2016 below $15.50 so now we have 1 trading day left to sit and wait how this monthly option expiration will end.

Entire analysis with commentaries & full size screenshot at
https://investingpit.com/cme-max-option-pain-analysis-for-soj6-silver/

CME‬ ‪gold‬ & ‪silver‬ futures options expiration today.
Key settled prices for ‪option‬ writers: gold <$1,225 and silver <$15.50 ‪

Currently Gold Apr 2016 futures price $1215.8 and Silver May 2016 futures price $15.18
For now both commodities inside max option pain area.

Max option pain analysis posted here on Mar 25th 2016 was spot on on worked like a charm - Silver May 2016 futures price settled on Mar 28th 2016 at $15.19 (settled perfectly in $15.00-$15.50).

Max option pain analysis posted here on Mar 25th 2016 was spot on on worked like a charm - Gold Apr 2016 futures price settled on Mar 28th 2016 at $1,220.8 (high of the day yesterday was $1,223.2 not being allowed to go above $1,225).

Settled date: Mar 28th 2016

Analysis for CME futures options is based on daily changes in options implied volatility.

We’ll look into changes in At-The-Money (ATM) and 25 Delta Risk Reversals for 1 month options implied volatility for 3 most recent monthly CME futures options contracts.

Market’s analysis for options on CME futures markets include: crude oil (CL), E-mini SP500 (ES), Gold (GC), silver (SI) and euro (6E).


(full size pic is resized on this forum that’s why it looks a bit unclear)

What has happened in last 1 trading day through price action of CME futures options?

At-The-Money (ATM) options implied volatilities changes for CME futures markets:

Decrease in ATM volatility in gold and silver futures options.

Increase in ATM volatility in euro futures options.

Out-Of-The-Money / 25-Delta Risk Reversal (OTM) options implied volatilities changes:

No significant changes in first 3 to expire monthly CME futures options in any market.

Full analysis with commentary (and full size high quality pic) at
https://investingpit.com/options-implied-volatility-analysis-2016-mar-28th/

We’ll look into changes in At-The-Money (ATM) and 25 Delta Risk Reversals for monthly options implied volatility for first 3 to expire monthly CME futures options contracts.

Market’s analysis for options on CME futures markets include: crude oil (CL), E-mini SP500 (ES), Gold (GC), silver (SI) and euro (6E).


What has happened in prior trading day in first 3 to expire CME futures monthly options contracts?

At-The-Money (ATM) options implied volatilities changes for CME futures markets:

Decrease in ATM volatility in euro and E-mini SP500 futures options.

Increase in ATM volatility in gold futures options.

For full analysis - with OTM volatility changes and commentary
VISIT original blog post at
https://investingpit.com/options-implied-volatility-analysis-2016-mar-29th/

Market’s analysis for options on CME futures markets include: crude oil (CL), E-mini SP500 (ES), Gold (GC), silver (SI) and euro (6E).


What has happened in prior trading day in first 3 to expire CME futures monthly options contracts?

At-The-Money (ATM) options implied volatilities changes for CME futures markets:

Decrease in ATM volatility in euro, silver and E-mini SP500 futures options.

Increase in ATM volatility in gold and crude oil futures options.

For full analysis - with OTM volatility changes and commentary…

VISIT original blog post at
https://investingpit.com/options-implied-volatility-analysis-2016-mar-30th

Interesting situation with euro futures Jun 2016 contract and euro futures Apr 2016 option.

Next Friday, Apr 8th 2016 we have 6EJ6 monthly option expiration and currently a lot of calls in the money.


What has happened in prior trading day in first 3 to expire CME futures monthly options contracts?

At-The-Money (ATM) options implied volatilities changes for CME futures markets:

Increase in ATM volatility in euro and E-mini SP500 futures options.

Decrease in ATM volatility in gold, silver and crude oil futures options.

For full analysis - with OTM volatility changes and commentary…

…VISIT original blog post at
https://investingpit.com/options-implied-volatility-analysis-2016-mar-31st

Non farm payrolls shook markets on Friday, Apr 1st 2016 and now let’s see what kind of price action was done by options traders.


At-The-Money (ATM) options implied volatilities changes for CME futures markets:

Increase in ATM volatility in: no futures options.

Decrease in ATM volatility in: e-mini SP500, euro, gold, silver and crude oil futures options.

For full analysis with commentary…
VISIT original blog post at
https://investingpit.com/options-implied-volatility-analysis-2016-apr-1st

If anybody cared to read comment on Apr 1st 2016 analysis at https://investingpit.com/options-implied-volatility-analysis-2016-apr-1st/#comment-50
then today we have markets doing exactly as predicted.


What has happened in prior trading day in first 3 to expire CME futures monthly options contracts?

At-The-Money (ATM) options implied volatilities changes for CME futures markets:

Significant increase of ATM volatility in: e-mini SP500, euro and crude oil futures options.

Significant decrease of ATM volatility in: no futures options.

Out-Of-The-Money / 25-Delta Risk Reversal (OTM) options implied volatilities changes:

Significant 1 day change of bullish sentiment in: no futures options.

Significant 1 day change of bearish sentiment in: crude oil and silver futures options.

All eyes on SP500 dictating direction of euro and gold.


Out-Of-The-Money / 25-Delta Risk Reversal (OTM) options implied volatilities changes:

Significant 1 day change of bullish sentiment in: crude oil futures options.

Significant 1 day change of bearish sentiment in: e-mini SP500 futures options.

For full analysis with commentary…
VISIT original blog post at
https://investingpit.com/options-implied-volatility-analysis-2016-apr-5th

Looking at next month’s CME ‪gold‬ futures options OGM6 open interest profile then 1,250 level will represent good resistance with currently over 5,000 calls waiting at that level.

Similar situation with ‪‎silver‬ futures options SOK6 and over 1,100 call ‪options‬ waiting at 16.00 level.

Apr 7th spot forex options expiry 10am New York time EURUSD 1.1400 (EUR 1.5bln)
Currently euro spot price 1.1436