FXE Analysis

CurrencyShares Euro ETF (FXE)

Update 3/26/2018: FXE pushed above the prior high, on March 8, breaking the chance of a downtrend, for now at least. I exited for a loss, with a debit of $1.20 and shares at $119.80.

Shares rose by 1.1% over 26 days, or a +15% annual rate. The options position produced a -37.5% loss for a -526% annual rate.

I have entered a short vertical spread on FXE, which tracks the EUR/USD exchange rate, using options that trade for the last time 42 days hence, on April 20. The premium is a $0.75 credit and the stock at the time of entry was priced at $118.55.

I made the decision to enter the trade in my account based on a downtrend signal from the Fisher Transform metric and an Elliott wave count that suggests a 5th wave down at the Minuette degree within a decline of larger degree.

Implied volatility stands at 7%, which is 2/5ths of the VIX, a measure of the volatility of the S&P 500 index. Currency-based trades typically will have lower IV than those based on equities.

FXE’s IV stands higher than 18% of its daily readings over the past year and stands in the 34th percentile of its most recent broad movement..

The price used for analysis was $118.54.

Premium: $0.75 Expire OTM  
FXE-bear call spread Strike Odds Delta
Long 122.00 86.3% 14
Break-even 118.25 70.4% 31
Short 119.00 54.4% 47

The premium is 50% of the width of the position’s wings.

The risk/reward ratio is 3:1.

The bid/ask spread was 5.2%.

By Tim Bovee, Portland, Oregon, March 6, 2018


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.

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