*A collection of custom trading and finance related charts and analysis*
Notes: In the past week there has been a sharp uptick in both the average daily volatility of all FX major currencies and the monthly volatility. This is visible in the table and chart above. As you can see, the volatility of 5 of the 7 FX currencies are recording as ‘High’ in regards to the 1 month and 5 year average daily volatility levels.
VIX Indicator For Multiple Instruments.
A custom volatility indicator built on the principles of Larry Williams VIXFIX theory and applied to the daily timeframe of the following financial instruments. For each financial instrument I have displayed a 12 month and 3 year chart and applied my volatility indicator to each.
S&P500 Index, Ticker: ^GSPC
Crude Oil Futures, Ticker: CL=F
GBPUSD Currency Pair, Ticker: GBPUSD=X
EURUSD Currency Pair, Ticker: EURUSD=X
EURGBP Currency Pair, Ticker: EURGBP=X
FX Correlation Data.
A table of data showing the correlation coefficient between major currency pairs based on the daily log returns through the previous 36 months of price data. The least correlated pairs have been highlighted in each column for ease of use. An excel file containing this table can be downloaded using the button below the table.
Cotton Futures vs Commitment Of Traders Data.
As explained in my previous blog post, I have been investigating the relationship between the positioning of certain market participants (producers and money managers) and the asset price of cotton futures. The following charts show the two main position ratios I have created to track them vs the price of cotton.
The chart below show both the long/short ratio of producer positioning vs cotton futures asset price.
The chart below show both the long/short ratio of managed money positioning vs cotton futures asset price.
*All price data used in the creation of these custom indicators and charts was downloaded from https://finance.yahoo.com
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DISCLAIMER: None of the information posted on this site is to be considered investment/financial advice. Trading is high risk and you should only trade with money you can afford to lose.