MAJO’s Table 3/16

3:40 AM 3/19/2007 
S1’s highest support level , 3286, was surpassd at 5am, so the s1bine was calcuated at 3300. As expected, this 3300 level held in the 2 and 4pm session. The time premiums would have been high to compensate for such a low VIX.  Also, because all the news happened after 8:30 AM, one could of assumed the real R1 was achieved at 10am, since it was in R1 territory, thus selling the 12 noon 3325 bines. Another strategy would have entailed buying at anytime since the EUR was coming off S1 from Europe to NY sessions and selling OTM VIX, since it was going that direction, and it was going to dry up. 

Filed under: resistance, support

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