FXE Analysis

CurrencyShares Euro ETF (FXE)

Update 2/27/2018: FXE declined in line with the Elliott wave formation, and I exited at 41.2% of maximum potential profit for a $-0.30 debit. Shares stood at $117.79 upon exit.

At the exit the Fisher Transform and the Elliott wave count both continue to point toward a downtrend, and I intend to re-enter if their present conditions hold, continuing the series that began in October 2017.

Shares declined by 0.% over six days, or a -43% annual rate. The options position produced a 70.0% return for a +4,258% annual rate.


I have entered a bear call vertical spread on FXE, using options that trade for the last time 23 days hence, on March 16. The premium is a $0.51 credit and the stock at the time of entry was priced at $118.63.

I made the decision to enter the trade in my account based on a trend reversal to the downside as measured by the Fisher Transform, within the context of a sharp reversal from the Feb. 16 peak on the chart..

Implied volatility stands at 9%, which is half the VIX, a measure of the volatility of the S&P 500 index. Currencies and their derivatives typically have low IV in comparison with equities.

FXE’s IV stands above 44% of the symbol’s IVs of the past year, and in the 83rd percentile of its most recent broad movement.

The price used for analysis was $118.68.

Premium: $0.51 Expire OTM  
FXE-bear call spread Strike Odds Delta
Calls
Long 120.50 74.7% 26
Break-even 118.49 64.6% 36
Short 119.00 54.4% 46

The risk/reward ratio is 1.9:1.

The bid/ask spread was 9.6%.

By Tim Bovee, Portland, Oregon, Feb. 21, 2018

Disclaimer

Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.

No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.

License
Creative Commons License

All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Based on a work at www.timbovee.com.

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