QuantumLogicTrading
Short

GBPUSD: TECHNICAL ANALYSIS - BEARISH MA, IV>HV, STANDEV & RR

FX:GBPUSD   British Pound/U.S. Dollar
Technical analysis - highly bearish:

MA:

1. Just crossed the 2wk and 4wk MA - this is a bearish indication + we have been below the 3m             MA for several weeks unsurprisingly since brexit.

IV/ HV:

1. Realised Vols have also unsurprisingly come off, this would but bullish but brexit has distorted the longer dated HV and they are lagging - Implied vols are steepening higher than HV - particularly around the 2wks as BOE vol             prices - so IV is greater than HV in the front end which is bearish , especially around BOE where we expect ALOT of bearish pressure going into the BOE as easing is expected.

Deviation Channels:

1. We Trade at the bottom of the 6m deviation channel but this is due to brexit so shouldnt be considered bullish . Looking at the 3m             SD             channel, this is more appropriate and shows us trading at the average 3m             price - hence there is definitely more room for downside and we have just crossed the middle regression line implying we are entering some downside deviation now.

Risk-Reversals

1. 25 delta Risk reversals trade marginally bearish for GBP$, with current at -0.1, 1wks flat at 0.02 and 2wks at -0.5 - this is surprising given BOE is coming up - one would expect a larger skew to one direction - since this isnt the case it could be 1) the market is neutral on the decision e.g. not sure of the result or 2) given we have 2wks yet investors are yet to postion in the option market, which they will next week - ill keep you updated on the vol/ option space biases.

- Though 1m risk reversals trade with a clearer downside bias a -1 and 2m at -2 which shows the market expects GBP$ to trade lower in the 1-2m term - which makes sense given the economic uncertainty + BOE Easing potential.

*Check the attached posts for indepth fundamentals*
lukelehepuu
4 months ago
How is your IV calculated? I can only see HV on there.
Reply
QuantumLogicTrading lukelehepuu
4 months ago
I have an FX options broker, take the figures they provide from there.
Reply
Ideas Scripts Chart
United States
United Kingdom
India
España
Italia
Brasil
Россия
Türkiye
日本
한국
Home Stock Screener Economic Calendar How It Works Chart Features House Rules Moderators For the WEB Widgets Stock Charting Library Priority Support Feature Request Blog & News FAQ Help & Wiki Twitter
Private Messages Chat Ideas Published Followers Following Priority Support Public Profile Profile Settings Billing Sign Out