Forex Spot & CME Futures Options Analysis by InvestingPit

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Daily forex spot option expiries at 10am New York time.

Option expiration date: [B]Aug 3rd 2016[/B]

Let’s see which currency pairs have at least $1 billion worth of options expiring on this day.

Over 1 billion worth of options will expire at one strike price in forex spot market of: AUDUSD (Aussie vs US dollar).

[B]AUDUSD 0.7540 (AUD 1.1 bln).[/B]

Our contacts also telling us about decent bids waiting in 0.7550-0.7540 area which could act as a decent support as well.

For full analysis with commentary…
…[B]VISIT original blog post at[/B]
https://investingpit.com/forex-spot-options-daily-expiry-2016-aug-3

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Daily forex spot option expiries at 10am New York time.

Option expiration date: [B]Aug 8th 2016[/B]

Let’s see which currency pairs have at least $1 billion worth of options expiring on this day.

Over 1 billion worth of options will expire at one strike price in forex spot market of: EURUSD (Euro vs US dollar), USDJPY (US dollar vs Yen) and USDCAD (CAD vs US dollar).

[B]EURUSD 1.1100 (EUR 1.2 bln),

USDJPY 102.00 (USD 1.1 bln),

USDCAD 1.3200 (CAD 1.1 bln).[/B]

For full analysis with commentary…
…[B]VISIT original blog post at[/B]
https://investingpit.com/forex-spot-options-daily-expiry-2016-aug-8

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Market’s analysis for options on CME futures markets include: US 10 year Treasury notes (TY), E-mini SP500 (EW & ES), crude oil (LO), Gold (OG), silver (SO), euro (6E), yen (6J), pound (6B), AUD (6A) and CAD (6C) options.

Settled date: Aug 12th 2016.

Analysis for CME futures options 25 delta risk reversal (RR25) is based on weekly changes in spread between options implied volatility at delta 25% for calls and delta -25% for puts.

RR25 = RR25 calls – RR25 puts

We’ll look into changes of 25 Delta Risk Reversals for Sep 2016 (U6) and Dec 2016 (Z6) CME futures options contracts.


What has happened in 1 week with out of the money – at delta 25% option’s implied volatility?

25-Delta Risk Reversal Sep 2016 (U6) options implied volatility changes:

Significant 1 week positive spread change in: crude oil, pound and aussie futures options.

Significant 1 week negative spread change in: e-mini SP500 futures and gold options.

25-Delta Risk Reversal Dec 2016 (Z6) options implied volatility changes:

Significant 1 week positive spread change in: AUD, loonie (CAD) and pound futures options.

Significant 1 week negative spread change in: crude oil and silver futures options.

Quick education on 25 delta risk reversal and it’s use in financial markets and trading binary options

25-delta risk reversals show the difference in volatility, and therefore price, between puts and calls on the most liquid out-of-the-money (OTM) options.

Positive values indicate calls being more expensive than puts (upside protection on the underlying forex spot is relatively more expensive), while negative values indicate puts are more expensive than calls (downside protection is relatively more expensive).

Significant changes can indicate a change in market expectations for the future direction in the underlying market.

In case of CME futures options the underlying market is CME futures market.
In case of forex spot options the underlying market is forex spot rate.

For full analysis, commentary and more education on trading financial markets using binary options…
…VISIT original blog post at
https://investingpit.com/options-risk-reversal-analysis-2016-aug-12

70

>6,000 Gold $1350 and >1,500 Silver $20 calls for now successfully out of the money for Oct 25th monthly CME futures option expiration.

On Oct 25th 2016 there’s a monthly option expiration at Comex for gold futures option contract OGU6 and silver SOU6.

6,000 gold calls at price of $1,350 are worth $810 million so we can expect option writers to be motivated to keep price of gold below $1,350 on Oct 25th 2016 (and until then).

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Week that finished on Aug 19th 2016 had GBP futures Sep 2016 price finishing 1.2% higher (with positive weekly spread change in RR25 in both Sep and Dec 2016 pound futures options seen in this analysis).

Tomorrow new weekly analysis will be posted - original and full analysis with commentary will be posted on our blog already before London Stock Exchange open.

For archive of all of our 2016 analysis…
simply VISIT https://InvestingPit.com/blog

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Options Risk Reversal Analysis

Settled date: Aug 19th 2016

Market’s analysis for options on CME futures markets include: US 10 year Treasury notes (TY), E-mini SP500 (EW & ES), crude oil (LO), Gold (OG), silver (SO), euro (6E), yen (6J), pound (6B), AUD (6A) and CAD (6C).


What has happened in 1 week with out of the money – at delta 25% option’s implied volatility?

25-Delta Risk Reversal Sep 2016 (U6) options implied volatility changes:

Significant 1 week positive spread change in: yen futures options.

Significant 1 week negative spread change in: silver and gold options.

For full analysis, commentary and more education on trading financial markets using binary options…
…VISIT original blog post at
https://investingpit.com/options-risk-reversal-analysis-2016-aug-19

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As we highlighted in our table screenshot – crude oil had the most negative 1 week change in risk reversal while futures price finished higher => crude oil Oct 2016 futures price finished the week on Aug 26th 2016 at -3.7% lower.

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As we talked for last 2 weeks with gold & silver monthly options expiration day on Oct 25th 2016 both levels - gold’s $1350 and silver’s $20 had too many calls that needed to finish out of the money = nice profit for option writers (once again).

OGU6 (gold) settled price on Oct 25th 2016 was $1321.2 while SOU6 (silver) $18.49

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Options Risk Reversal Analysis

Settled date: Aug 26th 2016.

Analysis for CME futures options 25 delta risk reversal (RR25) is based on weekly changes in spread between options implied volatility at delta 25% for calls and delta -25% for puts.


What has happened in 1 week with out of the money – at delta 25% option’s implied volatility?

25-Delta Risk Reversal Sep (U6) or Oct 2016 (V6) options implied volatility changes:

Significant 1 week positive spread change in: silver futures options.

Significant 1 week negative spread change in: e-mini SP500, crude oil, gold, EUR, yen, AUD & CAD.

For full analysis, commentary and more education on trading financial markets using binary options…
…VISIT original blog post at
https://investingpit.com/options-risk-reversal-analysis-2016-aug-26

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As we highlighted in our table screenshot for Aug 26th 2016 settled date:

– silver was the only financial market with positive 1 week change in risk reversal while futures weekly price finished lower.

What happened in a week that followed and finished on Sep 2nd 2016?

Silver Dec 2016 futures price closed the week on Sep 2nd 2016 at $19.52 or 4.2% higher.

Option traders were right again.

77

Options Risk Reversal Analysis

Settled date: Sep 2nd 2016.

Analysis for CME futures options 25 delta risk reversal (RR25) is based on weekly changes in spread between options implied volatility at delta 25% for calls and delta -25% for puts.


What has happened in 1 week with out of the money – at delta 25% option’s implied volatility?

25-Delta Risk Reversal Sep (U6) or Oct 2016 (V6) options implied volatility changes:

Significant 1 week positive spread change in: crude oil, e-mini SP500 and AUD futures options.

Significant 1 week negative spread change in: silver and yen futures options.

For full analysis, commentary and more education on trading financial markets using binary options…
…VISIT original blog post at
https://investingpit.com/options-risk-reversal-analysis-2016-sep-2

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Forex Spot Options Expiry 2016 Sep 6

EURUSD 1.1115 to 1.1125 area have $3.1 billion worth of options expiring at 10am NY time.
EURUSD spot price now at 1.1155

USDJPY at 103.00 strike price has $1.3 billion worth of options expiring at 10am NY time.
USDJPY spot price now 103.43

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[B]Forex Spot Options Expiry 2016 Sep 9[/B]

EURUSD, USDJPY & USDCAD have > $1 bln expiry

So far both EURUSD and USDJPY spot prices are inside areas of strike prices with over $/€ 1 billion worth of options expiring today at 10am NY time.

For full analysis with commentary…
…[B]VISIT original blog post at[/B]
https://investingpit.com/forex-spot-options-daily-expiry-2016-sep-9

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On a table screenshot for Sep 2nd 2016 settled date we highlighted potential that in week to follow that silver could finish lower and crude oil higher.

What happened in a week that followed and finished on Sep 9th 2016?

Silver Dec 2016 futures price closed the week on Sep 9th 2016 at $19.13 or 1.2% lower.

Crude Oil Oct 2016 futures price closed the week on Sep 9th 2016 at $45.71 or 2.9% higher.

Option traders were right again.

81

Options Risk Reversal Analysis

Settled date: Sep 9th 2016.

Analysis for CME futures options 25 delta risk reversal (RR25) is based on weekly changes in spread between options implied volatility at delta 25% for calls and delta -25% for puts.


What has happened in 1 week with out of the money – at delta 25% option’s implied volatility?

25-Delta Risk Reversal Sep (U6) or Oct 2016 (V6) options implied volatility changes:

Significant 1 week positive spread change in: crude oil, e-mini SP500 and AUD futures options.

Significant 1 week negative spread change in: silver and yen futures options.

For full analysis, commentary and more education on trading financial markets using binary options…
…VISIT original blog post at
https://investingpit.com/options-risk-reversal-analysis-2016-sep-9

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On a table screenshot for Sep 9th 2016 settled date we highlighted potential that in week to follow that gold could finish lower.

What happened in a week that followed and finished on Sep 16th 2016?

Gold Dec 2016 futures price closed the week on Sep 16th 2016 at $1313.2 or 1.6% lower.

Options traders were right again.

83

Options Risk Reversal Analysis

Settled date: Sep 16th 2016.

Analysis for CME futures options 25 delta risk reversal (RR25) is based on weekly changes in spread between options implied volatility at delta 25% for calls and delta -25% for puts.


What has happened in 1 week with out of the money – at delta 25% option’s implied volatility?

25-Delta Risk Reversal Oct 2016 (V6) options implied volatility changes:

Significant 1 week positive spread change in: yen, e-mini SP500, and crude oil futures options.

Significant 1 week negative spread change in: gold and AUD futures options.

For full analysis, commentary and more education on trading financial markets using binary options…
…VISIT original blog post at
https://investingpit.com/options-risk-reversal-analysis-2016-sep-16

84

On a table screenshot for Sep 16th 2016 settled date we highlighted potential that in week to follow that crude oil could finish higher.

What happened in a week that followed and finished on Sep 23rd 2016?

Crude oil Nov 2016 futures price closed the week on Sep 23rd 2016 at 44.59 or 2.2% higher.

Options traders were right again (5 for 5 in last 4 weeks).

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Options Risk Reversal Analysis

Settled date: Sep 23rd 2016.

Analysis for CME futures options 25 delta risk reversal (RR25) is based on weekly changes in spread between options implied volatility at delta 25% for calls and delta -25% for puts.


What has happened in 1 week with out of the money – at delta 25% option’s implied volatility?

25-Delta Risk Reversal Oct 2016 (V6) options implied volatility changes:

Significant 1 week positive spread change in: silver, gold, crude oil and e-mini SP500 futures options.

Significant 1 week negative spread change in:British pound futures options.

For full analysis, commentary and more education on trading financial markets using binary options…
…VISIT original blog post at
https://investingpit.com/options-risk-reversal-analysis-2016-sep-23

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Deutsche Bank Hedge Fund clients starting to pull excess cash out.

Is this start of Deutsche Bank run?

Read more at
https://investingpit.com/start-of-deutsche-bank-run