How to count optional levels of CME
Link to a page with reports – www.cmegroup.com/tools-information/build-a-report.html?report=dailybulletin
As you can see, the link is a lot of reports on a variety of instruments. We need accountability on currency options. You can choose the right tool or filter to show all the forex-instrument group.
Reports are laid out in the previous trading day in the period from 10 to 12 MSCs in PDF format. Now I’m interested in the euro and the pound. The names of the document for the euro:
PG39 Euro FX And Cme $ Index Options: Apr 04, 2011: Apr 04, 2011
It contains information on how to PUT, and in CALL. It is this report I have used to calculate the option levels at the Jews today (5.04.2011). The date, of course, vary. It remains unchanged indication of the bulletin page number (PG39) and the name of the tool
For two pounds of paper. Separately, PUT and CALL:
PG27 British Pound Call Options: Apr 04, 2011: Apr 04, 2011 View PDF (27k) PG28 British Pound Put Options: Apr 04, 2011: Apr 04, 2011
Then look at the levels for options on EUR / USD. Download the relevant document itself (PG39) and analyze.
STRUCTURE OF THE BULLETIN
First you need to figure out what’s what in the document. See screenshot:
For this analysis use options with short expiration. In this case, the April options expiring April 8. After April 8 will see already the May options, etc.
The screenshot inscribed main speakers. The very first column – strikes. To select the right strike prices (which would later be built levels) are oriented generally on the volume and open interest. Someone gives more weight to volume, some open interest. For example, we have chosen to strike in 1430 in volume 567 and the open interest in 2571 (circled in the image below with a blue frame).
EXAMPLE CALCULATION option levels
First, we calculate the strike price for the futures. To do this, divide the value of the strike price by 1000.
Futures price = 1.4300
Now we need to take into account the option premium. To calculate the premium of points necessary to multiply the value of the corresponding column 10.
Option premium = 26 points
To get the level itself need to add CALL Award for PUT – take away.
Level = 1.4300 + 0.0026 = 1.4326
This is the classic method of calculating levels. And if you look at the levels of April 5, you will see that I have in the markup rate is present (at the top drag on the markup eurodollar – level 1.4326 corresponds to the upper level of the border). Further, for example, I’m trying to calculate the relative power level and focus also on local extremes, pay attention to the dynamics of growth / fading force levels and so on. So I’m giving levels with anticipation, and the more the level, the greater the anticipation, which is logical.
So there is a basis (a pound is the same, only there are two files used). This information should be enough to understand how the calculated levels and improved in etom.Budu glad proposals, ideas, and especially – the description of your experience in the calculation of the levels!
PS: For those who want to automate the levels will need ftp-link access to CME reporting – ftp://ftp.cmegroup.com/bulletin/
ps – The bulletin except EURO FX CALL there EURO FX C (EU). Is it necessary to consider them -? EURO FX C do not touch it eurostyle. Only use the EURO FX CALL
– I counted the optional levels but no it does not exceed the level of 1.4515 as at you, I got the closest 1.4507 (with a strike in 1430), please tell us how you got so – Hello. First I will say to those who are here will glance that this option of levels at the Jews for April 12.
So, in 1430 a strike of interest 682, and the volume of 6. This is just a little. Such strikes I do not take, if there is more. Look at the next strike 1435. The interest on it over 2000, while the volume of more 300.Na basis of this strike get optional level taking into account the premium 1.4526. Now look at me instruktsiiDalee, for example, try to calculate the relative power level and focus also on local extremes, pay attention to the dynamics of growth / fading force levels and so on. So I’m giving levels with anticipation, and the more the level, the greater the anticipation that the logical.
– Hello! Tell me, please, as they are considered optional levels of JPY -? Hello. To do this, go to the page www.cmegroup.com/tools-information/build-a-report.html?report=dailybulletin
And look for the appropriate reports (you can make the filter on forex instruments). For example, to calculate the option levels for the yen today is documents: PG33 Japanese Yen Call Options: Apr 14, 2011: Apr 14, 2011PG34 Japanese Yen Put Options: Apr 14, 2011: Apr 14, 2011
Those. as in the case of the pound using two separate documents on the CALL and PUT
-Still afford a question. The ratio of call and put, which is in the calculation of this ratio sum of volumes of all are calculated strike? If it is olbshe unit TREND up and vice versa? Many people write that if you take the prize kantrakt high and catching it for the long perspektivy.Kak you think? And whether it is necessary to take into account other award published in the Daily-byuletne? -If it olbshe unit is TREND up and vice versa?
Actually, I’m in the levels in the numerator put PUT. Therefore, is not the case in my case. But you can, of course, and CALL / PUT schitat.Dlya use it is necessary to look not only greater than or less than one, but still desirable trend. Therefore, I point out in their levels would decrease or increase relative to last. But ideally need to build a graph of the relationship.
Many people write that if you take the prize kantrakt high and catching it for the long perspektivy.Kak you think?
Yes, high-low for premiums should be used for longer-term forecasts – for a week, for example. But I do not make such predictions, so the value from a practical point of view, do not tell.
And it is necessary to take into account other award published in the Daily-byuletne?
For intra prediction, I think, only one prize. At the same time, the Bulletin – an array of data, each can bring something new at their job with him. So I do not rule out that someone effectively use additional data.
– Hello))) Tell me, plz.ne can figure out how to take into account all the same premium (((This is a standard procedure or an independent work?
Here’s one option: i.pixs.ru/thumbs/9/1/9/_5373738_2383919.jpgт.е offered when multiplied by 10 divided by 10 000 (? Standard lot), and then added to the CALL level = 1.4300 + 0.0026 = 1.4326 (in -those premium divided by 1000) the second option: the prize is multiplied by 100 and then added i.pixs.ru/thumbs/9/4/8/_2997744_2383948.jpgтретий option: the award of the report is divided into 10 000 (without any premultiplied) you bought a call option with a strike price 1380 maks.premiey 28.0, min.premiey 5.20. Compute the upper level: + 1380/1000 28/10000 = 1.3828. Lower level: 1380/1000 + 5.20 / 10000 = 1.3805-Check for proper raschtea you can. See the screenshot in the topic and highlighted stroku.strayk 1430premiya 2.60
Those. at a price of $ 1430 contract award $ 2.60. Total with the award for the 1430 CALL + 2.6 = 1432.6 dollars per 1,000 evro.Teper give to the cost of 1 euro (ie entries of the form 1EUR / 1USD). It turns 1.4326 Euro per $ 1. Those. Strike at the level of 1.4326, as calculated in the topic.
The ratio of PUT / CALL
I’ll tell you a little bit more, because questions arise.
Thus, the ratio of PUT / CALL shows how many times wanting to sell currency options more than willing to buy.
Accordingly, if the ratio is greater than 1, the more sellers and vice versa.
The ratio should be considered in dynamics, so I’m in their outlook indicates the previous value.
Then favorable conditions for the purchase (we can assume that the growing strength of support): – the ratio of PUT / CALL 1 (sellers less) – there is a tendency to a decrease in the ratio of
Favorable conditions for the sale (it can be assumed that the growing resistance force): – the ratio of PUT / CALL 1 (more sellers) – there is a tendency to an increase in the ratio of
-Frost, can you explain That was 1.2539 put option – it is an option to sell. The price went from top to bottom to it. This means that sellers were keen to get to this level ?? And why did the price jumped up from it? Can you explain a little of options execution principle. – Alex, just the opposite – Put option sellers are not interested, that the price has reached the execution of this option. If the price falls below the strike price, the sellers will incur losses. Therefore, when approaching the top prices to this level, they can even go shopping in order to push the price up and protect the level of execution of the option sold by them! 🙂 PS let me correct, if wrong! – ie, from here it turns out that the price can go up to peepka button and go, and sometimes not make it to the level and escape. and in this case it could not reach the price – the strike is not paid? – Yes, it turns out. Not that the strike is not payable if the price could not reach … Then just the option holder does not exercise their right (right! but not the obligation) to execute it. In this scenario, the option sellers have a profit in the form of bonuses and customers – on the contrary. – then such a question. Here is the put option and the level of 1.2450. Price reached this level and bounced. What happened. Sellers option suffered losses. And it turns out the option buyer is now at 1.2450 now want to drive it up to make a profit ?? – If pushed, we can say that the sellers are properly carded level / or defended his order to buy – in consequence of which, the price and came up. – and why sellers because the sellers are interested to see the price below ?? damn … the dark forest of some of these options – The logic of events is as follows: If we expect that the price eg the euro will continue to grow, we will buy the CALL option, if you are waiting for the fall price, then buy options – PUT.Pri this we pay the seller of the option premium. the premium amount is set input of trades and of course Mena depending on which currency moves your option kontrakta.Dlya option should distinguish between execution price Strike (the strike price) and the price of the option (premium). At the conclusion of the contract price of an option (premium) is always the option buyer pays it to the seller as consideration for the right to further execute this option. The option price develops as a result of trading. Exercise price (strike price) – is the price at which the option entitles the holder the option to buy or sell a futures contract underlying the option; the exercise price and the standard set by the exchange for each option contract. Thus, design option involves the choice is not one, but two prices. Bidder first determines the appropriate option with a strike price of it, and then in the bidding process is determined by the price of the option (premium) Prepared this situation. Sellers of options, received the award in the sale of Over the Top optsinov will try not to give us the right to use its (then our premiums will be their earnings). We, in turn, will try to move the price in the direction where we will be able to exercise their right to profit for themselves. It should be borne in mind that to make a profit, we need to begin to recapture the premium paid. And only then will our zarobotok.
This situation leads to the fact that they formed a support / resistance levels.
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