The ACD Method

Quote from Maverick74:

To make this even simpler, let's remove the directional aspect of this. With regards to FX, when FX "volatility" increases, regardless of direction, something is going on there. It takes a lot of money to move currencies. These aren't small cap stocks with small floats that are heavily shorted or futures contracts going into expiration where traders are forced to roll or close out. There is literally an unlimited supply of currency in the world (because it can be printed) so when you see massive moves or sharp increases in volatility, that's telling you something and often provides good tells for risk assets.

Combine this with the yield curve flattening and investor sentiment at near all time highs and margin leverage approaching 1999 levels, well, you've got yourself an interesting situation here.
More...

On the Vol for EUR/USD, I have the following numbers (which I track);

7 day HV - 5.28% (3rd decile)

21 day HV - 5.52% (1st decile)

63 day HV - 5.81% (1st decile)

I reckon we are not looking at the same thing.

Question on the FX number line, you did say you base it on London OR and a midnight CT close, correct?
 
Quote from Maverick74:

To make this even simpler, let's remove the directional aspect of this. With regards to FX, when FX "volatility" increases, regardless of direction, something is going on there. It takes a lot of money to move currencies. These aren't small cap stocks with small floats that are heavily shorted or futures contracts going into expiration where traders are forced to roll or close out. There is literally an unlimited supply of currency in the world (because it can be printed) so when you see massive moves or sharp increases in volatility, that's telling you something and often provides good tells for risk assets.

Combine this with the yield curve flattening and investor sentiment at near all time highs and margin leverage approaching 1999 levels, well, you've got yourself an interesting situation here.
More...

While not the ACD number line all of my own mo mo indicators have flipped down on everything I trade just about. The only ones that are bullish are dollar fx pairs. Interesting indeed. Literally grains, softs, energy, etc. You name it, it's bearish. Of course my stuff can flip back positive in a week but I haven't seen this many times.

Was wondering what you thought about a ten year short?
 
Quote from justrading:

On the Vol for EUR/USD, I have the following numbers (which I track);

7 day HV - 5.28% (3rd decile)

21 day HV - 5.52% (1st decile)

63 day HV - 5.81% (1st decile)

I reckon we are not looking at the same thing.

Question on the FX number line, you did say you base it on London OR and a midnight CT close, correct?
More...

I'm not talking about stat vol and I'm not referring to just the Euro. OK, let me give an example. When the lights are off in your house, you have all sorts of critters walking around independently of each other. There is almost no correlation to what one bug, cockroach, etc are doing to each other. However, the second you turn on the light, correlation goes to 1 and they all scatter.

In FX land, what I'm watching is the lights going on. When I see sharp moves across all the FX pairs all moving at the same time, that tells me there is a major shift going on. It's not about analyzing the stat vol on the Euro and noticing it's 10 basis pts higher this week over last week.

Regarding the number lines, yes, London open and I use a 24 hour day since FX trades around the clock.
 
Quote from actionzip54:

While not the ACD number line all of my own mo mo indicators have flipped down on everything I trade just about. The only ones that are bullish are dollar fx pairs. Interesting indeed. Literally grains, softs, energy, etc. You name it, it's bearish. Of course my stuff can flip back positive in a week but I haven't seen this many times.

Was wondering what you thought about a ten year short?
More...

ZN failed at the QTR A up as well. Not a bad trade at that level but if risk assets sell off, I'm not sure how much follow through there will be on Bonds and Notes.
 
Quote from Maverick74:

Combine this with the yield curve flattening and investor sentiment at near all time highs and margin leverage approaching 1999 levels, well, you've got yourself an interesting situation here.
More...

Yes, some weird stuff going on also.

FB had a solid beat and got sold off.

AIG had a small beat and is getting hammered.

What next I wonder....
 
Quote from justrading:

Yes, some weird stuff going on also.

FB had a solid beat and got sold off.

AIG had a small beat and is getting hammered.

What next I wonder....
More...

And the action in the Russell looks like shit.
 
Quote from justrading:

Mav, you got a downside target for Nat Gas? I got a short position on.
More...

The QTR A down is around 3.33 give or take and the monthly A down will be somewhere around 3.41 or so. That 3.33 should get hit.
 
Quote from Maverick74:

The QTR A down is around 3.33 give or take and the monthly A down will be somewhere around 3.41 or so. That 3.33 should get hit.
More...

Thanks, lines on the chart now. :D
 
You must log in or register to reply here.
Back
Top