MAJOs fitted to todays Support and Resistance levels

MAJOs Table
This table took the max R1 (resistance) level and the min S1 (support) level of the CL providers contained in the MAJO resource (see Blogroll for link) and fitted ito the corresponding r1 bine resistance and the s1 bine support.

From 5am – 4pm all open prices were contained within the 3250 to 3200 range. At the 8pm open, the price was already far off its support, so 3200 seemed to be the next “support” level. Buying the 10am 3200 bine when the EURUSD was at 3218 at 8am would have been a good choice. Resistance was approached at 12noon open. Selling a 2pm 3250 bine would of been appropriate at that juncture.

Next, computing OA cash on this trade to HS.

10:56 PM 3/15/2007

Filed under: resistance, support, WIP, hedgestreet

USD/JPY relationship to EUR/USD

Normally, these pairs move inversely to each other.  On average, high VIX scenarios in NY and London are followed up by low VIX in the NY afternoon sessions. Bollinger Bands (BB) picks up noise in low VIX scenarios, it seeks to contain price action rather than direct it. I use a 28-period SD 2 BB on a 5 minute chart).  If EUR bines are too rich in premiums, I’d look at the JPY’s relationship to its strikes like I did this afternoon, since it probably will exhibit the same noise. Due to the differenences that prices are related to their strikes, the JPY is an adequate inverse substitute.

At 1:55pm EST, the 4pm 117.75 USD/JPY bine may have been around 40. This was around 117.75 which as between the R1 and R2s for MAJO. Previously at 12.25 and especially at 1:10, USD/JPY came off severly from around this level. Around 2pm, the top BB line was falling as well as the BB’s bottom line was rising. If USD/JPY didn’t go above the 117.75, and this was within the MAJO R1 and R2 area, most likely the market was saying it that this was the resistance level. Either you would of sold a 4pm JPY bine at the 117.75 strike; bought the 117.50 at the retreat, or dug in deep at 3pm for both when VIX, as illustrated by the collapsing BB levels, were implied price neturality. Sold the 117.75 and buy the 117.50 at that point.  Once again, support and resistance levels, as always, are ranges; the market refines these ranges, then strikes are identified for bine set-ups.

Filed under: resistance, support

Example of a capturing VIX using a binary

Today’s USD reports before 8:30 AM EST were as follows:

• USD Initial Jobless Claims (MAR 10) 12:30 8:30 328K 328K

• USD Continuing Claims (MAR 3) 12:30 8:30 2526K

• USD Producer Price Index (MoM) (FEB) 12:30 8:30 0.4% -0.6%

• USD Producer Price Index Ex Food & Energy (MoM) (FEB) 12:30 8:30 0.2% 0.2%

• USD Producer Price Index (YoY) (FEB) 12:30 8:30 0.2%

• USD Producer Price Index Ex Food & Energy (YoY) (FEB) 12:30 8:30 1.8%

• USD Empire Manufacturing (MAR) 12:30 8:30

Here is a “before and after” view of HS on the 10AM EST BINE:

Here’s an example of a modest VIX move at 8:30 am, enough to hit the bids on the 10am 1.3200 contract. Pre-830am, there were was neither volume nor open interest on this contract. Post-8:30AM, the 1.3200 bid resulted in 8 bought with the last price at 62. Since EURUSD was coming off S1 levels at the beginning of this morning’s EUR trading, buying into downside VIX was the profitable thing to do at 1.3200.

I assume that the 8 Volume and 8 Open interest indicates is indicative of 1 entity. The trade(s) were set up with a pre-set bid and pre-set ask. of 16 contracts (e.g. Pre-8:30 am, the trade was bid around 40-50. Then it hit. 8 contracts were sold  at 62, while the other 8 were held until 10am expiration.

 

Filed under: Uncategorized, hedgestreet