Options of the CME Group are a tool which is used by wide range of participants in finance market. They are big banks, banking groups, hedge funds, major international traders, governments, speculators, hedgers and other players. Data based on results of FX options trading carried out by CME can give a good idea about situation on the FX market of the CME Group and FX market all over the world.
Among participants in forex option trading it is possible to mark out a group of writers (those who sell a right for CALLs or PUTs options). Usually a big share of trading activity among writers is carried out by large banks, banking groups, finance companies and other structures. They are not interested to see the rights for forex options issued by them being exercised. Theoretically the loss of writers can reach considerable scale. Otherwise buyers of options risk lose only the sum of the paid commission. Big writers can exert influence on the movement of currency pairs, protecting their positions.
From this point of view options CALLs can be considered as resistance to growth of currency pair, and options PUTs - as support. It is important to consider not only volumes of positions in lots. Also it is significant to study character and evolution of changes, cash options premium values of CALLs and PUTs, total positions.
In most cases the big players - writers are in a greater degree informed on forthcoming events on the financial market, and abrupt large-scale operations can be evidence, for example, of change in currency trend or indicate necessity to increase attention.
Example of Using FX Open Options Positions.
Great wave of USD which was rising against EUR till the end of October 2008 stopped at 1.2330 and made second bottom at level 1.2480 at the beginning of March 2009. From the start of 2009 till the beginning of March in EUR/USD options positions it was marked a formation of new PUTs options growing in leaps and bounds in relatively large amounts at levels: 1.20; 1.15; 1.10. By reaching the second bottom these three levels attained the following values: 1.20 = 21.4K lots (20.7% of all PUTs); 1.15 = 16.3K (15.8% of all PUTs) and 1.10 = 11.2K (10.8% of all PUTs). As for strikes 1.15 and 1.10 a majority of appropriate options were opened with the expiration date in June 2009 in volume of 27.6K (26.6% of all PUTs). It can mean that large writers were sure that EUR/USD futures wouldn't fall far beneath these levels. See the following chart and table.
EUR/USD Daily 09/2008 - 08/2009
Main open lots positions of key PUTs strikes
and their changes in the I-st quarter of 2009.
At the bottom of every such pages you can find a PDF file attachment with charts.
It is convenient to use "two-up"/"two-up continuous" mode of 'Acrobat'.
Contents of the site Forex Options Figures.
Site Forex Options Figures offers you calculation of options levels of the basic currency pairs, being traded on the CME (Chicago Mercantile Exchange Group) - the largest regulated foreign marketplace in the world, and the second largest electronic FX market with more than $100 billion in daily liquidity.
The primary information is obtained from reports of the CME Group. The final calculations are presented by data analysis and the attached PDF files with charts. For better comprehension it is convenient to use "two-up"/"two-up continuous" mode of 'Acrobat'.
Calculations are based on American-style options monthly and in total. Usually the first month ("I Month") includes also data of the nearest European-style options month during last week before expiration date (it is pointed in the cap on the first page of file with charts). Calculations of the fourth month ("IV Month") put in data of subsequent months.
Calculations may be conditionally divided in two groups. The first group embraces data of open lots quantities, separately CALLs and PUTs (lots quantities and changes for the pointed period). The second group includes cash options price values, separately CALLs and PUTs (cash options price values and changes for the pointed period). The first group (open lots quantities) is presented on the odd pages and the second group (cash options price values) is presented on the even pages of every PDF file. Totally twenty eight charts are presented in every file. Sixteen of them present monthly information, four of them show sum of all months, further four charts demonstrate a progression data sum of every of four previous charts and the last four charts present progression sum of CALLs - PUTs positive difference on every strike level (lots quantities, cash options price values and changes for the pointed period).
Additionally some charts include data of the nearest futures price and "Futures Equilibrium" *. "Futures Equilibrium" - a calculated Futures value at which sum of "Cash options premium values" of all CALLs strikes are equal to those of PUTs (all options of American-style and those of the nearest month of European-style are included).
* - "Futures Equilibrium" has been calculated since Oct 30, 2009
