sticky strikes

[Eurex]

I used to have RanSquawk closed it.

They will always mention the nearest strike in price in options from Futures which is the support level for Euro and this news will come bw 1400-1500 just before expiry. Whatever the support they will say its .xx50, .xx75, .xx85,.xx00, .xx25 as options levels which are also support resistance levels where i find price stops.

Hear them say every afternoon Euro is finding support at the options expiry level or ........ This information comes after S/R levels are established and their Technical Guy is copying that into Options level near 1400-1500.

Sometime back they were giving options levels 500 pips below the current price at 1,2800 2 weeks leading to 13th Aug 2013 when i fed up and called them- http://ransquawk.com/headlines/311030

13th Aug 2013 - http://ransquawk.com/headlines/311030
EUR/USD
Options: 1.2800
Offers: 1.3330/50/65070, 1.3400
Bids: 1.3230/50/65

When i asked why its 500 pips below and from where are you getting they said they have contacts in industry(Must be genius contact to suggest 500 pip Stop Loss) and refused to change the levels and i found that their contact was some twitter guy and they refused to say data was wrong. They were copying the levels from some guy on the twitter. After 13th Aug that they corrected the options data to simple Support Resistance.:cheesy:

14th Aug- http://ransquawk.com/headlines/311256
EUR/USD
Options: 1.3175 - Where are Bid Ask format you posted earlier

15th Aug - http://ransquawk.com/headlines/311485
EUR/USD
Options: 1.3250, 1.3330 - Wow 80 pips apart

See how Bids and Offer in Options from RS disappeared after 13th Aug and simple options level which was the Temp Support bw 14-1500GMT

i realised ill be better using twitter or some free service. So i closed RanSquawk account and getting my nos from DailyFx, Twitter, Free news services since im not trading the news in imm 5 mins.

Good Luck Trading!

 

[mensatrader]

Here's a decent enough explanation:
http://www.theoptionsinsider.com/education/?p=6563

thanks a lot

 

[Martinghoul]

a general comment.... not directed at martinghoul btw....

with re to fx some news feeds (eg IFR) provide upcoming large individual (say > £500mn) ccy option expiries for the day / week, & I have enjoyed watching the PA around this level/strike (level often corresponds with a s/r level) with intrigue as expiry draws nearer. it can hover/tread water here for a while (all v vague, sorry!). is this where they are delta hedging? or just protecting the barrier with heavy bids/offers?

... then soon after expiry time price moves sharply through that level/strike as they appear to pull all orders (hard to tell in fx).

imo, & as MG states, this doesnt happen enough to use as criteria for trade setup, but still worth noting if you are entering/exiting a trade. this, iirc from reading about institutional fx traders, is in part why round numbers (& halfs) can act as S or R levels....cos they attract greater option interest from the bigger players.

i am just starting to look at fx futures options, so will just touch base with mr crabs before i decide to switch all my funds from one ccy to another for free money.

happy to hear of different opinions.

The problem in FX is a) it's often a much more fragmented mkt; and b) the options which have these "sticky" strikes are exotic (barriers, digitals, etc). The result is that the dynamics get even more complicated.

 

[Purple Brain]

...the dynamics get even more complicated.

So much for the hottest traders being E. London barrow-boys.

 

[Martinghoul]

So much for the hottest traders being E. London barrow-boys.

That was a generation ago, although there's a few dinosaurs like that in FX even now. Generally, the age of the barrow boy is well and truly behind us, I am afraid.

 

[mensatrader]

That was a generation ago, although there's a few dinosaurs like that in FX even now. Generally, the age of the barrow boy is well and truly behind us, I am afraid.

So just out of curiosity, in general what is the level for 30 yrs old trader. A trading manager, VP,?

 

[Martinghoul]

So just out of curiosity, in general what is the level for 30 yrs old trader. A trading manager, VP,?

I have no idea... Impossible to generalize.

 

[random12345]

That was a generation ago, although there's a few dinosaurs like that in FX even now. Generally, the age of the barrow boy is well and truly behind us, I am afraid.

What are the Duck & Waffle going to do when they all retire? I guess Steve Clark will still be around...

 

[mensatrader]

Well, that's exactly the point... The pros used to play these games back in the day when they were able to make money from less sophisticated mkt participants. With time, these mkt participants became increasingly savvy, which introduced all these game theoretic layers of complexity, which mean that the payoff, even for the pros, is extremely uncertain. So the pros have really stopped doing it (at least as a strategy). Nowadays you can still occasionally observe effects like this, but there's almost no way to take advantage of them in a repeatable way.

Hi mate, I have recently read the following from dynamic hedging book: volatility smile would tilt left or right when taking into account the correlation between asset prices and volatility - a negative correlation between changes in asset and changes in volatility would result in upside option prices that are cheaper than downside strikes. I really don't understand the logics here, why does the asset price changes can affect the skewness of volaility smiles which only shows the implied volatility as a function of the strikes not underlying price.

 

[rsh01]

Hi mate, I have recently read the following from dynamic hedging book: volatility smile would tilt left or right when taking into account the correlation between asset prices and volatility - a negative correlation between changes in asset and changes in volatility would result in upside option prices that are cheaper than downside strikes. I really don't understand the logics here, why does the asset price changes can affect the skewness of volaility smiles which only shows the implied volatility as a function of the strikes not underlying price.

Not sure I understand your query, but can you only have implied surface vol for diff strikes? At diff prices the whole surface changes, no?

In other words - you need to know the vol at that spot price to then calculate IVs at diff strikes. Obv if and when price gets there IV will be recalculated.

Ignore me, I know v little.

 

[Martinghoul]

Hi mate, I have recently read the following from dynamic hedging book: volatility smile would tilt left or right when taking into account the correlation between asset prices and volatility - a negative correlation between changes in asset and changes in volatility would result in upside option prices that are cheaper than downside strikes. I really don't understand the logics here, why does the asset price changes can affect the skewness of volaility smiles which only shows the implied volatility as a function of the strikes not underlying price.

Think of things this way: suppose I gave you a high-quality, liquid blue-chip stock that trades at $100 and a penny stock that trades at, I dunno, $0.30. Without me telling you any names, which one would you say is likely to exhibit a higher volatility?

 

[mensatrader]

Think of things this way: suppose I gave you a high-quality, liquid blue-chip stock that trades at $100 and a penny stock that trades at, I dunno, $0.30. Without me telling you any names, which one would you say is likely to exhibit a higher volatility?

the $100, right?