Could that be a shape of things to come in FX and equity indices? We see US cash markets are closed today for President Day and we look at the known event risk on the calendar set to drive markets this week.
Gold on the radar – for gold traders I put this piece together on Friday on the drivers of the yellow metal – I argue the various reasons why Gold has been on the rise.
Implied volatility matrix – we take the implied volatility priced by the options market and calculate the implied move (higher and lower) and project this to Friday’s closing levels. We can see where the market sees the potential moves with a 68.2% (1 standard deviation) and 95% level of confidence (2 standard deviations). Traders can use to understand potential areas for mean reversion, but we can also use for our risk management – specifically, those working off longer time frames – perhaps swing or position traders.
(Source: Pepperstone - Past performance is not indicative of future performance.)
(Source: Pepperstone - Past performance is not indicative of future performance.)
Risk reversals - Options sentiment guide – we see the skew of 1-week call volatility and subtract 1-week put vol – if the net figure (‘current’) is negative, such as we see in EURUSD (as an example) it details the market saying if we see a move, we’ll likely see a bigger downside move than an upside one over the week. We can use as a guide to sentiment.
(Source: Pepperstone - Past performance is not indicative of future performance.)
G10 FX Rate hike monitor - Implied number of hikes as priced by the swaps market.
(Source: Pepperstone - Past performance is not indicative of future performance.)
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