Friday, March 19, 2010

Friday March 19, Quadruple Witching

Third Friday in March is expiration day of stock options, index futures, index option and single stock options and could make for some interesting volatility today.  One of the reasons I am not rushing to add to my positions, it's often one of those "expect the unexpected" days.
I am hoping for a down day in the indices to help my long dollar, long yen positions but the FTSE has taken off this morning, and if the others follow it could be time to tighten up.  A lot of correlations seem to be less potent lately so I am not bailing yet.   Update:  FTSE has decided to behave.
EUR weakness seems set to continue and a test of the recent lows in EURUSD likely, and the trend in EURJPY is broken back to down again. 

I am looking for a long entry in USDCAD.  I know thats a bit contrarian but the short trade to parity has become very crowded, its big news here in Canada. Ultimately I think a strong CAD will follow a strong dollar but short term I might give this a go. A lot of businesses, mine included, keep USD and CAD accounts and can convert funds between the two at a click of a mouse.  Last time the COT interest was this lopsided USDCAD corrected 10% Rosie reminded yesterday.

USDCHF balance stopped out 1.0550 (+0.5R)
USDCAD long 1.0165 stop 1.0150 PT1.0230 / 1.0380
GBPJPY short 137 stop 137.35 - addition
EURJPY short 123 stop 123.30 - addition
USDCAD long stopped out (-1R) - CAD CPI v good #'s
CRUDE short closed 50% @3R 81.80 (+1.5R)
EURCAD short closed 50% @3R 1.3765 (+1.5R)
EURCAD short closed 25% @6R 1.3675 (+1.5R)
CABLE short closed 25% @6R 1.5130 (+1.5R)
EURUSD short closed 50% @3R 1.3570 (+1.5R)
GBPJPY short addition stopped out (-1R)
NZDUSD short 0.7100 stop 0.7120 4hr bear flag
EURUSD short closed 25% @6R 134.80 (+1.5R)
GBPJPY closed 25% @6R 136.60 (+1.5R)
EURCAD final 1.4 closed 1.3700 (+1.29R)
EURJPY addition closed 50% @3R 122.10 (+1.5R)
CRUDE closed 25% @6R 80.60 (+1.5R)
CABLE closed last 25% 1.5015  (+2.21R)
GBPJPY closed last 25% 135.50 (+2.18R)
EURJPY closed last 50% 122.50 (+4.2R)
CRUDE closed last 25% 80.60 (+1.5R)
EURUSD closed last 25% 135.25 (+1.12R)
NZDUSD closed 70.82 (+0.95R)

Open Positions:
None.  My best week ever!!
I'm flat because I am moving brokers next week.

One to watch is CHF.  EURCHF is dropping like a stone to test the lows and dragging all the crosses with it.  Prev all time low is 1.4299 and we are less than 100 away.  Nothing moves in a straight line and mean reversion rules.  The remarks yesterday that precipitated the drop don't seem that dramatic to me and the market may have over-reacted.

Yesterday was an NR7 day (Crabel).  I am looking for a pullback to 81 but some volatility could push a retest of 80 and then the lows.  Contract has rolled to May and often starts with a dip.


  1. wow!!
    Nic, you top the trader list for me matey!!


  2. Matey I'm not but the public scrutiny helps! I came this '.' close to bottling on my EURCAD short this morning. The public shame kept me in. I love the charts on your thread, if only mine were so clean.

  3. nic
    i second ams in his comment. u are no doubt the best trader i have met in my journey in 4 years of forex .
    i m in GU , EU , GJ . I must say it was a great week .
    have a great week end , i m looking forward to your charts and analysis .

  4. Thanks Samer, I'm not really but had a good teacher.
    I am taking next week off to move brokers but will do analysis Sunday and end of day probably just to stay in touch with what is going on.

  5. I am definitely in agreement on the commodity currencies turning down soon against USD and JPY, would short AUD, CAD and NZD for a start (are sheep a commodity?). Not sure if we are there yet but we are close. China tightening is probably the key determinant.

    Why do I think we are not yet ready for RISK-OFF? T-Bills at 14-15 bps means not much fear. OTOH, the yield curve is at 270 from 292, which is probably a meaningful change at this point.

  6. It's soooo close ... I am going to wait see how we close but you are right, it looks tempting but its not quite there yet.
    I was talking with Big last night about how in 08 we had the September chop and then the "big drop" was really only the first two weeks of October, after that it was relatively normal market moves. Just got to stay sharp and be ready for that moment when it comes ...

  7. 1200 S&P and I'm going to be twitchy ...