Are you baffled between deceptive swings of AUD/CAD & tepid IV?

FX:XAUUSD   Vàng / Đô la Mỹ
93 lượt xem
93 0
Although the pair has been showing strength in recent times, bears are active crucial resistance at 0.9526 levels.

Last 2 months of declining rallies have halted after testing supports at 0.9331 levels and 1st week of June has been favouring bulls.

Ever since a hammer pattern occurred at 0.9375 levels, the daily RSI has been converging to the price rallies, while stochastic has been indecisive.

While 7DMA crosses over 21DMA which is signalling the chances of ongoing rallies to extend. However, this has been adverse in monthly terms (21DMA crosses over 7DMA).

1w ATM IVs (implied volatility ) of AUDCAD is a tad below 8%, and 7.81% for 1m tenors, taking this stabilized IV factor into consideration which is on the lower side, option writers are on competitive advantage.

At spot reference: 0.9475, so go short in 1m (1.5%) ITM calls and short in (1.5%) ITM puts of the same expiry.

If you have sold an option, it is bad. A seller wants IV to fall so the premium falls. You should also note short-dated options are less sensitive to IV, while long-dated are more sensitive.

The option price predictions are obtained from the predicted risk-neutral measure by effectively integrating it against the corresponding option payoffs.

The non-linear transformation between option prices and the risk-neutral parameters applied here is not arbitrary.

Most favourable scenario: On expiration, if AUDCAD oscillates between the strike prices 0.9617 and 0.9332, maximum gain for the short guts strategy is certain and limited to the extent of initial premiums received.

At this price, while both options expire in the money, they have lost all their time value. It is this loss in time value that the short guts strategy aims to capture as profit.

Adverse scenario: Adversely, large losses can be incurred when the underlying spot FX makes a huge move either upwards or downwards at expiration.
VI Tiếng Việt
EN English
EN English (UK)
EN English (IN)
DE Deutsch
FR Français
ES Español
IT Italiano
PL Polski
SV Svenska
TR Türkçe
RU Русский
PT Português
ID Bahasa Indonesia
MS Bahasa Melayu
TH ภาษาไทย
JA 日本語
KO 한국어
ZH 简体中文
ZH 繁體中文
AR العربية
HE עברית
Trang chủ Bộ lọc cổ phiếu Bộ lọc Forex Bộ lọc Tiền điện tử Lịch kinh tế Cách thức hoạt động Tính năng Biểu đồ Quy tắc Áp dụng Người điều hành Giải pháp cho Website & Nhà môi giới Widget Thư viện Biểu đồ Chứng khoán Yêu cầu tính năng Blog & Tin tức Câu hỏi thường gặp Hỗ trợ & Wiki Twitter
Hồ sơ Tùy chỉnh Hồ sơ Tài khoản và Thanh toán Ticket Hỗ trợ của tôi Liên hệ Hỗ trợ Các ý tưởng đã đăng Người theo dõi Đang theo dõi Tin nhắn riêng Trò chuyện Đăng xuất