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:
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:
Early days, USD/JPY and stocks reacted but the move may be muted - the reality is that around 10 hedge funds have [B]reduced[/B] their exposure, the remaining 190 have done nothing.
The story came from Bloomberg - based on an internal Bank document apparently seen by the news channel.
One would wonder how they got sight of that document. Anyways, sometimes these type of stories can gain legs, other times not.
As written at start of the week that’s now behind us – markets not gave us much with SP500 and USD finished the week almost unchanged.
But week that’s coming now – with also start of the new month, is set to show us few good trading signals which will be revealed in tomorrow’s blog post and in next reply in this topic.
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:
GBP Flash Crash On Monthly Options Expiration & NFP Day
But the day is not over since there is still Non Farm Payrolls to be released at 8.30am New York time, followed by 10am daily GBUSD options expiry with somebody waiting £2 million worth of 1.2500 put options to cash out.
And at 3pm New York time we have monthly GBP futures options expiry with over 18,000 put options in the money – from which over 1,000 puts at 1.2600 (by data for 6BV6 futures options from a yesterday’s settled date).
Germany's Bild newspaper confirms the rumors that sparked weakness on Friday: Deutsche bank CEO John Cryan has failed to reach an agreement with the US Justice Department.
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 Nov 2016 (X6) options implied volatility changes:
Euro Nov 2016 futures contracts have monthly options expiration day on Nov 4th 2016 for 6EX6 euro options.
Euro futures options 6EX6 expiring on Nov 4th 2016 have over 6,500 contract of 1.1000 put options waiting to settle in the money on option expiration day.
Can this be good enough incentive for option writers to fight for euro to stay above 1.1000?
Today’s Euro Dec 2016 futures price - low 1.0982 with current price at 1.1029
Euro Dec 2016 futures contracts have monthly options expiration day on Dec 9th 2016 for 6EZ6 euro options.
Euro futures options 6EZ6 expiring on Dec 9th 2016 have over 13,000 contract of put options between 1.05 and 1.06 strike price waiting to settle in the money on option expiration day.
As you can see at 1.0500 there are over 6,000 put options waiting to get in the money so option writers (usually big banks) will be motivated for Euro Dec 2016 futures contract price to settle at option expiration day on Dec 9th 2016 above 1.0500.
Low of the week that ended on Nov 25th 2016 in 6EZ6 was 1.0527 so 1.05 level for now holding - while closing price was 1.0611 so analysis nailed importance of both 1.05 and 1.06 level :35:
Pound Dec 2016 futures contracts have monthly options expiration day on Dec 9th 2016 for 6BZ6 euro options.
GBP futures options 6BZ6 expiring on Dec 9th 2016 have over 9,000 contract of put options between 1.23 and 1.25 strike price waiting to settle in the money on option expiration day. This is based on Nov 25th 2016 settled date info.
As you can see at 1.2300 there are near 4,000 put options waiting to get in the money so option writers (usually big banks) will be motivated for GBP Dec 2016 futures contract price to settle at option expiration day on Dec 9th 2016 above 1.2300.
Daily forex spot option expiries at 10am New York time.
Option expiration date: [B]Dec 9th 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), AUDUSD (Aussie vs US dollar) and USDCAD (CAD vs US dollar).
