RJO MRTs Option Analytics

and Daily Technical Data:

Forex

About RJO Market Research & Trading

Contact Information:

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OBrien & Company, the largest independent futures brokerage in the United States.
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brokerage firms, dating back to 1914.

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Chicago, Illinois 60606

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Website Inquiries
Phone: 312-373-5490
info@rjomrt.com
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Phone: 312-373-5490
help@rjomrt.com

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Copyright, 2011, RJO Market Research & Trading. The information contained in this article is believed to be drawn from reliable sources but cannot be guaranteed. Neither the information presented, nor any opinions expressed, constitute a solicitation of
the purchase or sale of any commodity. Those individuals acting on this information are responsible for their own actions. Any
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recipients of this information. The risk of loss in trading commodity futures and options can be substantial.

TECH INDICATORS - CURRENCY FUTURES

As of: 041714
: JYM14 | ECM14 |
:
|
|
High: .9821 | 1.3860 |
Low: .9762 | 1.3810 |
Settle: .9769s| 1.3820s|
Change: -.0013 | +.0000 |
:
|
|
Pivot
R2: .9843 | 1.3890 |
Analysis
R1: .9806 | 1.3850 |
Pivot: .9784 | 1.3830 |
S1: .9747 | 1.3800 |
S2: .9725 | 1.3770 |
:
|
|
Momentum 1-10 Day: +.0143 | +.0110 |
[Settle 1-20 Day: +.0005 | +.0040 |
- prev. 1-30 Day: +.0060 | -.0040 |
x-day 1-100 Day: -.0135 | +.0350 |
settle]1-200 Day: -.0295 | +.0730 |

SFM14 |
|
1.1397 |
1.1321 |
1.1340s|
-.0011 |
|
1.1428 |
1.1384 |
1.1352 |
1.1308 |
1.1276 |
|
+.0115 |
+.0016 |
-.0028 |
+.0391 |
+.0718 |

BPM14 |
|
1.6834 |
1.6780 |
1.6792s|
+.0002 |
|
1.6856 |
1.6824 |
1.6802 |
1.6768 |
1.6746 |
|
+.0212 |
+.0298 |
+.0064 |
+.0656 |
+.1614 |

MOVING AVERAGES - CURRENCY FUTURES

As of: 041714
: JYM14 | ECM14
Moving
3 Day: .9791 | 1.3810
Averages
4 Day: .9802 | 1.3820
5 Day: .9811 | 1.3830
9 Day: .9810 | 1.3820
10 Day: .9798 | 1.3810
18 Day: .9760 | 1.3790
20 Day: .9763 | 1.3790
30 Day: .9768 | 1.3820
50 Day: .9774 | 1.3780
100 Day: .9733 | 1.3710
200 Day: .9945 | 1.3550
Contract
5-D: .9802 | 1.3820
crosses MA 10-D: .9810 | 1.3820
today at
20-D: .9762 | 1.3790
price of:
30-D: .9771 | 1.3820
Moving Avg
3-9: -.0018 | -.0010
Oscillators 5-20: +.0048 | +.0030
MA Osc zero
3-9: .9968 | 1.3890
cross today 5-20: .9545 | 1.3680

SFM14
1.1351
1.1357
1.1372
1.1361
1.1347
1.1324
1.1327
1.1356
1.1311
1.1221
1.1051
1.1357
1.1361
1.1326
1.1354
-.0010
+.0044
1.1454
1.1163

BPM14
1.6764
1.6754
1.6750
1.6740
1.6722
1.6668
1.6650
1.6634
1.6624
1.6502
1.6102
1.6754
1.6740
1.6658
1.6630
+.0026
+.0100
1.6654
1.6154

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CDM14 |
|
.9092 |
.9063 |
.9074s|
+.0007 |
|
.9105 |
.9089 |
.9076 |
.9060 |
.9047 |
|
+.0029 |
+.0197 |
-.0009 |
-.0376 |
-.0369 |

MQM14 |
|
7.6350 |
7.6050 |
7.6225s|
-.0100 |
|
7.6508 |
7.6366 |
7.6208 |
7.6066 |
7.5908 |
|
+.0500 |
+.1325 |
+.0775 |
+.0875 |
+.1275 |

| CDM14 | MQM14 |
| .9078 | 7.6191 |
| .9085 |14.3900 |
| .9090 |13.0355 |
| .9114 |10.6375 |
| .9111 |10.3372 |
| .9072 | 9.1171 |
| .9055 | 8.9583 |
| .9026 | 8.4741 |
| .9025 | 8.0731 |
| .9130 | 7.7991 |
| .9346 | 7.6750 |
| .9085 |14.3900 |
| .9114 |10.6375 |
| .9063 | 9.0338 |
| .9027 | 8.5071 |
| -.0035 |-3.0183 |
| +.0034 |+4.0771 |
| .9250 |21.1612 |
| .8945 |******* |

RSI & STOCHASTICS - CURRENCY FUTURES

As of: 041714
: JYM14 | ECM14 | SFM14 | BPM14 |
:
|
|
|
|
RSI
9-Day RSI:
47.5 |
51.8 |
49.2 |
68.4 |
Prev 9-Day RSI:
50.0 |
52.2 |
51.3 |
68.3 |
Close today for80: 1.0150 | 1.4130 | 1.1696 | 1.6944 |
new 9-RSI of: 20: .9445 | 1.3460 | 1.1003 | 1.6150 |
Simulated +3 Unit:
68.0 |
71.2 |
69.2 |
85.2 |
9-Day RSI +2 Unit:
63.2 |
66.8 |
64.5 |
82.0 |
for settle+1 Unit:
56.7 |
60.7 |
58.2 |
77.1 |
today of: -1 Unit:
39.2 |
42.3 |
40.4 |
49.7 |
-2 Unit:
33.3 |
35.8 |
34.3 |
39.0 |
-3 Unit:
29.0 |
31.0 |
29.8 |
32.1 |
1 Unit = : .0050 | .0050 | .0050 | .0100 |
Stochastics
:
|
|
|
|
9-Day Range Raw K:
47.5 |
58.9 |
55.4 |
84.5 |
3-Day EMA K:
%K:
67.2 |
64.8 |
66.8 |
79.6 |
3-Day EMA %K: %D:
72.2 |
66.8 |
70.3 |
76.6 |
Price today for :
|
|
|
|
%K & %D xover
: .9842 | 1.3850 | 1.1403 | 1.6764 |
%K,%D at xover :
72.2 |
66.8 |
70.3 |
76.6 |
Copyright. All rights reserved.

CDM14 | MQM14
|
50.0 |
47.1
48.4 |
47.1
.9374 |66.9946
.8773 |*******
71.4 |
47.1
66.6 |
47.1
60.0 |
47.1
40.0 |
47.1
33.4 |
47.1
28.6 |
47.1
.0050 | .0050
|
17.1 |
.2
34.0 |
21.5
51.5 |
41.9
|
.9175 |30.1391
51.5 |
41.9

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TECH INDICATORS - DOLLAR vs. MAJOR CURRENCIES

: JAPAN | CANADA |EUROZONE|
UK
| SWISS | MEXICO |
:USD/JPY |USD/CAD |EUR/USD |GBP/USD |USD/CHF |USD/MXP |
As of: 041714
: YDY
| DCY
| ECY
| BPY
| UWY
| MEY
|
:
|
|
|
|
|
|
High:1024.80 |1.10180 |13.8650 |16.8420 | 8.8360 | 7.6695 |
Low:1018.80 |1.09830 |13.8100 |16.7870 | 8.7760 | 7.6426 |
Settle:1024.30s|1.10160s|13.8170s|16.7940s| 8.8340s| 7.6678s|
Change: +1.90 |+.00010 | +.0020 | +.0000 | +.0160 | +.0132 |
:
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|
Pivot
R2:1028.63 |1.10406 |13.8860 |16.8627 | 8.8753 | 7.6868 |
Analysis
R1:1026.46 |1.10283 |13.8510 |16.8283 | 8.8546 | 7.6773 |
Pivot:1022.63 |1.10056 |13.8310 |16.8077 | 8.8153 | 7.6599 |
S1:1020.46 |1.09933 |13.7960 |16.7733 | 8.7946 | 7.6504 |
S2:1016.63 |1.09706 |13.7760 |16.7527 | 8.7553 | 7.6330 |
:
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|
|
|
|
|
Momentum 1-10 Day: -15.00 |-.00180 | +.0960 | +.1960 | -.0720 | +.0468 |
[Settle 1-20 Day:
+.40 |-.02220 | +.0360 | +.2870 | -.0010 | +.1224 |
- prev. 1-30 Day: -6.10 |+.00240 | -.0470 | +.0550 | +.0290 | +.0721 |
x-day 1-100 Day: +11.80 |+.04840 | +.2430 | +.5790 | -.2310 | +.0044 |
settle]1-200 Day: +13.20 |+.04820 |+1.0360 |+1.9330 | -.8990 | -.0877 |
MOVING AVERAGES - DOLLAR vs. MAJOR CURRENCIES
As of: 041714
: YDY
| DCY
| ECY
| BPY
Moving
3 Day:1021.93 |1.10026 |13.8150 |16.7710
Averages
4 Day:1021.02 |1.09912 |13.8170 |16.7613
5 Day:1020.22 |1.09894 |13.8300 |16.7566
9 Day:1020.54 |1.09615 |13.8260 |16.7456
10 Day:1021.70 |1.09634 |13.8130 |16.7279
18 Day:1025.35 |1.10076 |13.7950 |16.6764
20 Day:1024.99 |1.10273 |13.7970 |16.6583
30 Day:1024.38 |1.10591 |13.8240 |16.6437
50 Day:1023.69 |1.10543 |13.7800 |16.6431
100 Day:1028.95 |1.09304 |13.7120 |16.5276
200 Day:1007.91 |1.06590 |13.5590 |16.1524
Contract
5-D:1021.02 |1.09912 |13.8170 |16.7613
crosses MA 10-D:1020.54 |1.09615 |13.8260 |16.7456
today at
20-D:1025.18 |1.10173 |13.7970 |16.6670
price of:
30-D:1024.09 |1.10582 |13.8220 |16.6411
Moving Avg
3-9: +1.39 |+.00411 | -.0110 | +.0254
Oscillators 5-20: -4.77 |-.00379 | +.0330 | +.0983
MA Osc zero
3-9:1007.00 |1.07955 |13.8970 |16.6695
cross today 5-20:1047.33 |1.11563 |13.6920 |16.1643
RSI & STOCHASTICS - DOLLAR vs. MAJOR CURRENCIES
As of: 041714
: YDY
| DCY
| ECY
| BPY
:
|
|
|
RSI
9-Day RSI:
52.0 |
52.0 |
51.5 |
67.6
Prev 9-Day RSI:
48.5 |
51.9 |
51.1 |
67.6
Close today for80:1058.93 |1.13489 |14.1220 |16.9566
new 9-RSI of: 20: 984.69 |1.06347 |13.4800 |16.1690
Simulated +3 Unit:
57.2 |
70.6 |
54.7 |
70.9
9-Day RSI +2 Unit:
55.6 |
66.2 |
53.6 |
69.9
for settle+1 Unit:
53.9 |
60.4 |
52.6 |
68.8
today of: -1 Unit:
50.0 |
43.0 |
50.3 |
65.1
-2 Unit:
48.1 |
36.6 |
49.2 |
62.8
-3 Unit:
46.4 |
31.9 |
48.1 |
60.7
1 Unit = :
1.00 | .00500 | .0050 | .0100
Stochastics
:
|
|
|
9-Day Range Raw K:
51.9 |
89.8 |
58.5 |
82.5
3-Day EMA K:
%K:
34.0 |
69.7 |
64.1 |
78.8
3-Day EMA %K: %D:
30.1 |
51.4 |
66.4 |
76.0
Price today for :
|
|
|
%K & %D xover
:1017.32 |1.08831 |13.8560 |16.7704
%K,%D at xover :
30.1 |
51.4 |
66.4 |
76.0
Copyright. All rights reserved.

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UWY
8.8186
8.8130
8.8020
8.8092
8.8201
8.8364
8.8344
8.8113
8.8463
8.9212
9.0601
8.8130
8.8092
8.8350
8.8125
+.0094
-.0324
8.7235
8.9523

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MEY
7.6518
7.6591
7.6601
7.6682
7.6702
7.6562
7.6480
7.6187
7.5854
7.6003
7.6610
7.6591
7.6682
7.6525
7.6199
-.0164
+.0121
7.6798
7.6173

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| UWY
| MEY
|
|
|
|
|
53.3 |
54.8 |
|
49.3 |
52.0 |
| 9.0735 | 7.9208 |
| 8.5354 | 7.3183 |
|
56.9 |
54.8 |
|
55.8 |
54.8 |
|
54.6 |
54.8 |
|
51.8 |
54.8 |
|
50.5 |
54.8 |
|
49.2 |
54.8 |
| .0050 | .0000 |
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|
48.9 |
45.4 |
|
34.4 |
43.0 |
|
29.9 |
49.5 |
|
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|
| 8.7719 | 7.6861 |
|
29.9 |
49.5 |

VOLATILITY SUMMARY - CURRENCY FUTURES

As of: 041714
: JYM14 | ECM14 | SFM14 | BPM14 | CDM14 |
|
Underlying Settle: .9769s| 1.3820s| 1.1340s| 1.6792s| .9074s|
|
Change: -.0013 | +.0000 | -.0011 | +.0002 | +.0007 |
|
:
|
|
|
|
|
|
Implied Volatility
7.32s|
5.86s|
6.49s|
5.20s|
6.25s|
|
Change from Prev:
-.15 |
-.05 |
-.15 |
-.04 |
-.20 |
|
last 20Days High:
8.94 |
6.98 |
7.81 |
6.23 |
7.52 |
|
Avg:
8.07 |
6.26 |
7.05 |
5.69 |
6.79 |
|
Low:
7.32 |
5.76 |
6.45 |
5.20 |
6.15 |
|
last 60Days High: 10.50 |
7.57 |
8.94 |
7.45 |
8.20 |
|
Avg:
8.86 |
6.64 |
7.74 |
6.41 |
7.09 |
|
Low:
7.32 |
5.76 |
6.45 |
5.20 |
6.15 |
|
:
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|
|
Historical 20 Day: 7.10% | 4.05% | 4.86% | 4.13% | 5.34% |
|
Volatility 30 Day: 7.41% | 4.34% | 5.21% | 4.13% | 6.84% |
|
50 Day: 6.93% | 5.18% | 6.02% | 4.67% | 6.91% |
|
100 Day: 8.13% | 5.65% | 7.31% | 5.38% | 6.49% |
|
200 Day: 9.12% | 6.49% | 8.16% | 7.06% | 6.36% |
|
Notes: Implied Volatility is interpolated for the at-the-money straddle.
VOLATILITY CHEAPNESS INDEX - CURRENCY FUTURES
As of: 041714
: JYM14 | ECM14 | SFM14 | BPM14 | CDM14 |
|
Implied Volatility
7.32s|
5.86s|
6.49s|
5.20s|
6.25s|
|
change
:
-.15 |
-.05 |
-.15 |
-.04 |
-.20 |
|
Historical Volat :
|
|
|
|
|
|
Max
:
24.9 |
23.3 |
24.7 |
26.2 |
30.7 |
|
Median :
10.1 |
8.9 |
9.7 |
8.7 |
9.6 |
|
Min
:
3.7 |
3.8 |
4.2 |
4.5 |
4.9 |
|
Vol Cheapness Ind:
18.1 |
14.9 |
8.8 |
3.8 |
10.7 |
|
change
:
-1.5 |
+.2 |
-2.6 |
-1.2 |
-3.1 |
|
Last 20 sess :
|
|
|
|
|
|
High
:
26.2 |
24.0 |
24.2 |
7.8 |
29.6 |
|
Avg
:
21.1 |
17.5 |
15.2 |
5.3 |
17.4 |
|
Low
:
18.1 |
12.8 |
8.2 |
3.8 |
8.0 |
|
Last 60 sess :
|
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|
|
|
|
High
:
33.1 |
26.5 |
28.7 |
22.2 |
29.6 |
|
Avg
:
24.3 |
22.3 |
22.4 |
9.7 |
20.7 |
|
Low
:
18.1 |
12.8 |
8.2 |
3.8 |
8.0 |
|
Days to Expiration
50 |
50 |
50 |
50 |
50 |
|
Notes: VCI ranks implied vol on a percentile basis (100 max, 0 min)
against historical vol for given days to expiration. Call for more info.
SIGMA BOUNDARY - CURRENCY FUTURES
As of: 041714
: JYM14 | ECM14 | SFM14 | BPM14 |
Today: +1 Std Dev: .0045 | .0050 | .0046 | .0056 |
-1 Std Dev: .0045 | .0050 | .0046 | .0054 |
68% H: .9814 | 1.3870 | 1.1386 | 1.6846 |
L: .9724 | 1.3770 | 1.1293 | 1.6736 |
95% H: .9859 | 1.3920 | 1.1433 | 1.6902 |
L: .9679 | 1.3720 | 1.1247 | 1.6682 |
99% H: .9904 | 1.3970 | 1.1479 | 1.6956 |
L: .9634 | 1.3660 | 1.1201 | 1.6626 |
20Days +1 Std Dev: .0203 | .0230 | .0209 | .0248 |
Out: -1 Std Dev: .0199 | .0230 | .0205 | .0244 |
To
+1 Std Dev: .0268 | .0300 | .0275 | .0326 |
Expir- -1 Std Dev: .0261 | .0300 | .0269 | .0320 |
ation
68% H: 1.0037 | 1.4120 | 1.1615 | 1.7118 |
L: .9508 | 1.3520 | 1.1071 | 1.6470 |
95% H: 1.0305 | 1.4420 | 1.1891 | 1.7444 |
L: .9247 | 1.3220 | 1.0801 | 1.6150 |
99% H: 1.0574 | 1.4730 | 1.2167 | 1.7770 |
L: .8985 | 1.2930 | 1.0532 | 1.5830 |
Notes: Shows probability of closing within price range
implied volatility on sub-annual basis. Call for more
Copyright. All rights reserved.

CDM14
.0036
.0035
.9110
.9038
.9145
.9002
.9181
.8967
.0161
.0158
.0212
.0207
.9286
.8866
.9498
.8659
.9711
.8451
based
info.

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on

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CME JAPANESE YEN VOLATILITY GRAPHS

1.03
1.02
1.01

21
APR

16
DEC

30

13
27
JAN-14

10
24
FEB

0.985

0.94

0.980

0.93

0.975

12

0.970

11

0.965

10

0.960

0.955

0.950

0.945

0.940

0.935

21
APR

20
JAN-14

17
FEB

17
MAR

31

14
28
APR

12
26
MAY

9
JUN

0.930

1.35

IMM JAPANESE YEN NEAREST FUTURES .. Weekly HLC plot

1.30

12

1.25

11

1.20

10

1.15

1.10

1.05

0.95

0.90

11

10
24
MAR

9
23
DEC-13

13

IMM JAPANESE YEN JUN 2014 .. Daily Implied volatility

JYM14 Implied volatility
JYU14 Implied volatility

18
NOV

0.95

14

IMM JAPANESE YEN SEP 2014 .. Daily Implied volatility

JYU14 Implied volatility
JYU14 20-Day Historic volatility

21
4
OCT-13

0.990

0.85

IMM JAPANESE YEN NEAREST FUTURES .. Weekly Implied volatility

JY Implied volatility
JY 20-Week Historic volatility

18

10.5

16

10

14

9.5

12

10

8.5

7.5

M14

10
24
MAR

0.96

H14

10
24
FEB

0.995

Z13

13
27
JAN-14

0.97

U13

30

M13

16
DEC

0.98

H13

1.005

Z12

18
NOV

1.015

0.99

U12

21
4
OCT-13

1.020

1.010

M12

IMM JAPANESE YEN JUN 2014 .. Daily Implied volatility

JYM14 Implied volatility
JYM14 20-Day Historic volatility

1.025

H12

IMM JAPANESE YEN JUN 2014 .. Daily HLC plot

.
IMM JAPANESE YEN JUN 2014 .. Sigma Boundary
Implied Volatility 7.32%
Days to Expiration 50 06/06/14
1 day :up 1 std dev 0.9814 +0.0045
:down 1 std dev 0.9724 -0.0045
To :up 1 std dev 1.0037 +0.0268
Expire:down 1 std dev 0.9508 -0.0261

Z11

N D J F M A MJ J A S O N D J F M A MJ J A S O N D J F M A MJ
11
12
13
14

C1

.
IMM JAPANESE YEN .. Volatility Cone
Date of Chart: 04/17/14
Impl
HistVol
VCI
Volat chg Median Index
Implied volatility
JYM14
7.3
-.1
10.1
18.1
JYU14
8.2
-.1
10.8
20.1
8.7
-.2
11.1
23.7
JYZ14
Historical Volatility Median
Historical Volatility Distribution [shaded region] - 5-year History
0 - 5%
5 - 10%
10 - 15%
15% - up

60
chg
-1.5
-1.0
-4.3

55
50
45
40

30
25
20
15
10
5
Volatility Cheapness Index - VCI

100
50

C2

52

48

44

40

36

32
28
24
20
Calendar Weeks to Option Expiration

16

12

Volatility [%]

35

CME EURO/DOLLAR VOLATILITY GRAPHS

1.42
1.41
1.40

21
APR

16
DEC

30

13
27
JAN-14

1.390

1.33

1.385

1.32

1.380

10

1.375

1.370

1.365

1.360

1.355

1.350

1.345

1.340

10
24
MAR

21
APR

20
JAN-14

17
FEB

17
MAR

31

14
28
APR

12
26
MAY

9
JUN

1.335

1.450

EURO [EURUSD] NEAREST FUTURES .. Weekly HLC plot

1.425

7.5

1.400

1.375

6.5

1.350

1.325

5.5

1.300

1.275

4.5

1.250

1.225

10
24
FEB

9
23
DEC-13

3.5

EURO [EURUSD] JUN 2014 .. Daily Implied volatility

ECM14 Implied volatility
ECU14 Implied volatility

18
NOV

1.34

8.5

EURO [EURUSD] SEP 2014 .. Daily Implied volatility

ECU14 Implied volatility
ECU14 20-Day Historic volatility

21
4
OCT-13

1.395

1.200

EURO [EURUSD] NEAREST FUTURES .. Weekly Implied volatility

EC Implied volatility
EC 20-Week Historic volatility

20

8.5

18

16

7.5

14

12

6.5

10

5.5

M14

10
24
MAR

1.35

H14

10
24
FEB

1.400

Z13

13
27
JAN-14

1.36

U13

30

1.405

M13

16
DEC

1.37

H13

1.410

Z12

18
NOV

1.420

1.38

U12

21
4
OCT-13

1.425

1.415

M12

EURO [EURUSD] JUN 2014 .. Daily Implied volatility

ECM14 Implied volatility
ECM14 20-Day Historic volatility

1.430

1.39

H12

EURO [EURUSD] JUN 2014 .. Daily HLC plot

.
EURO [EURUSD] JUN 2014 .. Sigma Boundary
Implied Volatility 5.86%
Days to Expiration 50 06/06/14
1 day :up 1 std dev 1.3868 +0.0051
:down 1 std dev 1.3766 -0.0051
To :up 1 std dev 1.4120 +0.0303
Expire:down 1 std dev 1.3520 -0.0297

Z11

N D J F M A MJ J A S O N D J F M A MJ J A S O N D J F M A MJ
11
12
13
14

C3

.
EURO [EURUSD] .. Volatility Cone
Date of Chart: 04/17/14
Impl
HistVol
VCI
Volat chg Median Index
chg
Implied volatility
ECM14
5.9 unch
8.9
14.9
+.2
6.4
-.1
9.1
23.6
-.1
ECU14
6.9
-.1
8.8
23.4
-.7
ECZ14
Historical Volatility Median
Historical Volatility Distribution [shaded region] - 5-year History
0 - 5%
5 - 10%
10 - 15%
15% - up

48
44
40
36
32

24
20
16
12
8
4
Volatility Cheapness Index - VCI

100
50

C4

52

48

44

40

36

32
28
24
20
Calendar Weeks to Option Expiration

16

12

Volatility [%]

28

CME SWISS FRANC VOLATILITY GRAPHS

1.17
1.16
1.15

21
APR

16
DEC

30

13
27
JAN-14

1.135

1.08

1.130

1.07

1.125

11

1.120

10

1.115

1.110

1.105

1.100

1.095

1.090

1.085

10
24
MAR

21
APR

20
JAN-14

17
FEB

17
MAR

31

14
28
APR

12
26
MAY

9
JUN

1.080

1.20

IMM SWISS FRANC NEAREST FUTURES .. Weekly HLC plot

1.18

11

1.16

10

1.14

1.12

1.10

1.08

1.06

1.04

1.02

10

10
24
FEB

9
23
DEC-13

12

IMM SWISS FRANC JUN 2014 .. Daily Implied volatility

SFM14 Implied volatility
SFU14 Implied volatility

18
NOV

1.09

13

IMM SWISS FRANC SEP 2014 .. Daily Implied volatility

SFU14 Implied volatility
SFU14 20-Day Historic volatility

21
4
OCT-13

1.140

IMM SWISS FRANC NEAREST FUTURES .. Weekly Implied volatility

SF Implied volatility
SF 20-Week Historic volatility

40

9.5

35

30

8.5

25

20

7.5

15

10

6.5

M14

10
24
MAR

1.10

H14

10
24
FEB

1.145

Z13

13
27
JAN-14

1.11

U13

30

1.150

M13

16
DEC

1.12

H13

1.155

Z12

18
NOV

1.165

1.13

U12

21
4
OCT-13

1.170

1.160

M12

IMM SWISS FRANC JUN 2014 .. Daily Implied volatility

SFM14 Implied volatility
SFM14 20-Day Historic volatility

1.175

1.14

H12

IMM SWISS FRANC JUN 2014 .. Daily HLC plot

.
IMM SWISS FRANC JUN 2014 .. Sigma Boundary
Implied Volatility 6.49%
Days to Expiration 50 06/06/14
1 day :up 1 std dev 1.1386 +0.0046
:down 1 std dev 1.1293 -0.0047
To :up 1 std dev 1.1615 +0.0275
Expire:down 1 std dev 1.1071 -0.0269

Z11

N D J F M A MJ J A S O N D J F M A MJ J A S O N D J F M A MJ
11
12
13
14

C5

.
IMM SWISS FRANC .. Volatility Cone
Date of Chart: 04/17/14
Impl
HistVol
VCI
Volat chg Median Index
Implied volatility
SFM14
6.5
-.2
9.7
8.8
7.2
-.1
9.5
21.5
SFU14
7.6
-.2
9.7
21.8
SFZ14
Historical Volatility Median
Historical Volatility Distribution [shaded region] - 5-year History
0 - 5%
5 - 10%
10 - 15%
15% - up

48
chg
-2.6
-2.0
-1.3

44
40
36
32

24
20
16
12
8
4
Volatility Cheapness Index - VCI

100
50

C6

52

48

44

40

36

32
28
24
20
Calendar Weeks to Option Expiration

16

12

Volatility [%]

28

CME BRITISH POUND VOLATILITY GRAPHS

1.74
1.72
1.70

21
APR

16
DEC

30

13
27
JAN-14

10
24
FEB

1.68

1.56

1.67

1.54

1.66

1.65

1.64

1.63

1.62

1.61

1.60

1.59

1.58

21
APR

20
JAN-14

17
FEB

17
MAR

31

14
28
APR

12
26
MAY

9
JUN

1.57

1.725

POUND/DOLLAR [GBPUSD] NEAREST FUTURES .. Weekly HLC plot

1.700

1.675

1.650

1.625

1.600

1.575

1.550

1.525

1.500

8.5

10
24
MAR

9
23
DEC-13

10

POUND/DOLLAR [GBPUSD] JUN 2014 .. Daily Implied volatility

BPM14 Implied volatility
BPU14 Implied volatility

18
NOV

1.58

11

POUND/DOLLAR [GBPUSD] SEP 2014 .. Daily Implied volatility

BPU14 Implied volatility
BPU14 20-Day Historic volatility

21
4
OCT-13

1.69

1.475

POUND/DOLLAR [GBPUSD] NEAREST FUTURES .. Weekly Implied volatility

BP Implied volatility
BP 20-Week Historic volatility

18

16

7.5

14

12

6.5

10

5.5

4.5

M14

10
24
MAR

1.60

H14

10
24
FEB

1.70

Z13

13
27
JAN-14

1.62

U13

30

1.71

M13

16
DEC

1.64

H13

1.72

Z12

18
NOV

1.74

1.66

U12

21
4
OCT-13

1.75

1.73

M12

POUND/DOLLAR [GBPUSD] JUN 2014 .. Daily Implied volatility

BPM14 Implied volatility
BPM14 20-Day Historic volatility

1.76

1.68

H12

POUND/DOLLAR [GBPUSD] JUN 2014 .. Daily HLC plot

.
POUND/DOLLAR [GBPUSD] JUN 2014 .. Sigma Boundary
Implied Volatility 5.20%
Days to Expiration 50 06/06/14
1 day :up 1 std dev 1.6846 +0.0055
:down 1 std dev 1.6736 -0.0055
To :up 1 std dev 1.7118 +0.0327
Expire:down 1 std dev 1.6470 -0.0321

Z11

N D J F M A MJ J A S O N D J F M A MJ J A S O N D J F M A MJ
11
12
13
14

C7

.
POUND/DOLLAR [GBPUSD] .. Volatility Cone
Date of Chart: 04/17/14
Impl
HistVol
VCI
Volat chg Median Index
chg
Implied volatility
BPM14
5.2 unch
8.7
3.8
-1.2
5.9 unch
8.6
6.3
-.2
BPU14
6.3
-.1
8.5
10.5
-1.5
BPZ14
Historical Volatility Median
Historical Volatility Distribution [shaded region] - 5-year History
0 - 5%
5 - 10%
10 - 15%
15% - up

48
44
40
36
32

24
20
16
12
8
4
Volatility Cheapness Index - VCI

100
50

C8

52

48

44

40

36

32
28
24
20
Calendar Weeks to Option Expiration

16

12

Volatility [%]

28

CME CANADIAN DOLLAR VOLATILITY GRAPHS

0.97
0.96
0.95

21
APR

16
DEC

30

13
27
JAN-14

10
24
FEB

0.920

0.88

0.915

0.87

0.910

10

0.905

0.900

0.895

0.890

0.885

0.880

0.875

0.870

21
APR

20
JAN-14

17
FEB

17
MAR

31

14
28
APR

12
26
MAY

9
JUN

0.865

1.06

IMM CANADIAN DOLLAR NEAREST FUTURES .. Weekly HLC plot

1.04

1.02

7.5

0.98

6.5

0.96

0.94

5.5

0.92

0.90

4.5

0.88

10
24
MAR

9
23
DEC-13

8.5

IMM CANADIAN DOLLAR JUN 2014 .. Daily Implied volatility

CDM14 Implied volatility
CDU14 Implied volatility

18
NOV

0.89

IMM CANADIAN DOLLAR SEP 2014 .. Daily Implied volatility

CDU14 Implied volatility
CDU14 20-Day Historic volatility

21
4
OCT-13

0.925

0.86

IMM CANADIAN DOLLAR NEAREST FUTURES .. Weekly Implied volatility

CD Implied volatility
CD 20-Week Historic volatility

18

8.5

16

14

7.5

12

10

6.5

5.5

M14

10
24
MAR

0.90

H14

10
24
FEB

0.930

Z13

13
27
JAN-14

0.91

U13

30

0.935

M13

16
DEC

0.92

H13

0.940

Z12

18
NOV

0.950

0.93

U12

21
4
OCT-13

0.955

0.945

M12

IMM CANADIAN DOLLAR JUN 2014 .. Daily Implied volatility

CDM14 Implied volatility
CDM14 20-Day Historic volatility

0.960

0.94

H12

IMM CANADIAN DOLLAR JUN 2014 .. Daily HLC plot

.
IMM CANADIAN DOLLAR JUN 2014 .. Sigma Boundary
Implied Volatility 6.25%
Days to Expiration 50 06/06/14
1 day :up 1 std dev 0.9110 +0.0036
:down 1 std dev 0.9038 -0.0036
To :up 1 std dev 0.9286 +0.0212
Expire:down 1 std dev 0.8866 -0.0208

Z11

N D J F M A MJ J A S O N D J F M A MJ J A S O N D J F M A MJ
11
12
13
14

C9

.
IMM CANADIAN DOLLAR .. Volatility Cone
Date of Chart: 04/17/14
Impl
HistVol
VCI
Volat chg Median Index
chg
Implied volatility
CDM14
6.3
-.2
9.6
10.7
-3.1
6.4
-.2
10.7
10.1
-2.8
CDU14
6.6
-.2
11.4
10.5
-.2
CDZ14
Historical Volatility Median
Historical Volatility Distribution [shaded region] - 5-year History
0 - 5%
5 - 10%
10 - 15%
15% - up

48
44
40
36
32

24
20
16
12
8
4
Volatility Cheapness Index - VCI

100
50

C10

52

48

44

40

36

32
28
24
20
Calendar Weeks to Option Expiration

16

12

Volatility [%]

28