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,
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.
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.
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.
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
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.
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).
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).
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.
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.
