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Weekly trader's playbook and implied volatility matrix
I’ve taken a snapshot of volatility on Friday and portrayed at that time the implied move on the week (expiring Monday). I've then looked at the implied range for two options strategies. One which looks at the move with a 68.2% degree of confidence (i.e. a 25-delta straddle) and also a 90% level of confidence (10-delta strangle). As always, this is to help with the perception of movement and where the market is seeing more aggressive moves playing out. As we see it won’t surprise that the movement is aimed at GBP pairs and EUR to a lesser extent. All this makes sense as this is a huge week in the EU-UK trade ... (full story)