Power levels trading

[spazzy252]

Nov 12 means nothing more than November options of the year 2012. It doesn’t represent the date of Nov 12th 2012. The November options expire on the 30th of the month. If the Nov12 did represent a certain day there would also be the option to choose different dates under the expiration drop down menu. The CME data is for only monthly options not daily. The change of data on a daily basis is on the monthly option not for a particular date option.

[udc]

Well, actually we are both wrong. I was wrong in thinking that Nov 12 means November the 12th, while in fact it merely means November 2012 as you pointed out (silly me, it's obvious from the list of months; a sign of being overworked).

 

But it's not true that these Options expire on 30th of the month. You need to look at the calendar, for E-mini S&P 500 it's here:

http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_product_calendar_options.html

 

For EURUSD it's here:

http://www.cmegroup.com/trading/fx/g10/euro-fx_product_calendar_options.html

 

As you can see E-mini S&P500 expires much later in the month than for example EURUSD and if you look at the EURUSD's Options settlement page you will indeed not find the "Nov 12" expiry month there anymore (EURUSD's November expiry expired a week ago). From the contract specification it seems that EURUSD expires on the second Friday of the month, while E-mini S&P500 expires on the third Friday of the month.

 

Mystery solved and on top of that we are little bit more smarter.

[spazzy252]

Udc,

 

Thanks for pointing that out concerning the different expire dates. I was unaware of different dates for different markets. It is terrible there is such a lack of consistency with the CME. It is also great to continue to gain more knowledge.

[udc]

Yes, there is terrible inconsistency. Only because of their inconsistency I must be keeping the adjustment table.

 

We all know the break-even formula, right? "Strike + Settle" for Calls, or "Strike - Settle" for Puts. But what is actually the Strike?

 

If you look here:

http://www.cmegroup.com/trading/fx/g10/euro-fx_quotes_settlements_options.html

 

you will find Strike "1275", for example.

 

But if you look here:

http://www.cmegroup.com/trading/fx/g10/euro-fx_quotes_globex_options.html?exchange=XCME&foi=OPT&venue=G&productCd=6EZ2&underlyingContract=6E&floorContractCd=ECZ2&expMonth=201212

 

you will find the same Strike named as "12750".

 

Now if you look here:

http://datasuite.cmegroup.com/dataSuite.html?template=opt&productCode=6E&exchange=XCME&selected_tab=fx

 

you will find yet again the identical Strike as "1.2750". So which one should I actually use in the formula? The same goes for the Settle values, somewhere it's like ".00370", somewhere else it's like "3.7".

 

As for FX currencies and (newly added) equity indexes I used the format from the Daily bulletin PDFs, but I don't know whether it was the right decision (seems so). But those energy instruments they are not contained in any of the PDFs! For them I found this file:

ftp://ftp.cme.com/settle/nymex_option.csv

 

and used the format from there, but again I don't know if the format there is the right one.

 

 

The result of all this, totally unnecessary, unification is the following (the two bold lines):

//                                          AUDUSD  GBPUSD  USDCAD  EURUSD  USDJPY   USDCHF  EmDOW5  EmSP500 EmNQ100 WTI     BRENT   HENRY   HEATOIL RBOB
string   FXsymbols       [totalCMEsymbols]={"",     "",     "",     "",     "",      "",     "",     "",     "",     "",     "",     "",     "",     ""    };
string   CMEexchange     [totalCMEsymbols]={"XCME", "XCME", "XCME", "XCME", "XCME",  "XCME", "XCBT", "XCME", "XCME", "XNYM", "XNYM", "XNYM", "XNYM", "XNYM"};
string   CMEproduct      [totalCMEsymbols]={"AD",   "BP",   "CD",   "EC",   "JY",    "SF",   "YM",   "ES",   "NQ",   "CL",   "BZ",   "NG",   "HO",   "RB"  };
string   CMEunderlying   [totalCMEsymbols]={"AD",   "BP",   "CD",   "EC",   "JY",    "SF",   "YM",   "ES",   "NQ",   "LO",   "OS",   "ON",   "OH",   "OB"  };
[b][color="#FF0000"]double   CMEadjuststrikes[totalCMEsymbols]={0.1,    1,      0.1,    1,      0.1,     0.1,    0.1,     1,     1,      0.01,   0.01,   0.001,  0.0001, 0.0001};
double   CMEadjustsettles[totalCMEsymbols]={1,      1,      1,      1000,   1,       1,      1,       1,     1,      1,      1,      1,      1,      1     };[/color][/b]
double   CMEadjustspots  [totalCMEsymbols]={0.001,  0.001,  0.001,  0.001,  0.00001, 0.001,  10,      1,     1,      1,      1,      1,      1,      1     };
bool     CMEreverses     [totalCMEsymbols]={false,  false,  true,   false,  true,    true,   false,  false,  false,  false,  false,  false,  false,  false };

 

Hopefully it's correct. If they showed on their Options settlement webpages the correct Strike and Settle values in a format that is supposed to be used in the break-even formula then I would have saved quite a lot of headaches and wasted time. Oh well.

 

 

P.S.: as for the inconsistency in the expiry dates, maybe it is intentional. If you look here:

http://www.cmegroup.com/tools-information/calendars/expiration-calendar/

 

you will see that almost every day is the last trade day for some instrument. Maybe they are trying to evenly distribute the expirations if various instruments to smooth out their operations.

Edited November 18, 2012 by udc

[udc]

OBEL engine v1.06 & OBEL v1.07

 

Changes:

 

OBEL-engine

 

Total number of instruments now is 14: 6x FX currencies, 3x equity indexes and 5x energy instruments. For the details about the newly added instruments please see the previous posts. The internal structure for combining the target URLs was reworked so that adding other instruments should be very simple now (provided there is a respective CME webpage with the data).

 

Each instrument can be individually enabled, so you can enable only those that you really want.

 

For each instrument you can specify the name of the respective CSV file. This name should be identical to the name of the Metatrader symbol. If it's not possible to use such a name (e.g. a Metatrader symbol contains characters that are not allowed to be used in the filenames), or for some reason you don't want to, you can use any filename you want and then manually specify this name in the OBEL indicator (see below).

 

Various bugfixes.

 

 

OBEL

 

New parameter "ManuallySpecifiedFilename". If the CSV filename is identical to the name of given Metatrader symbol, this parameter should be kept empty.

 

Changed defaults as indicated in the previous posts (disabled the nearest expiry month, enabled variable colors).

 

New parameter "MinVariableColor" for specifying the minimal color intensity when using the variable colors.

 

New switch "HighlightOptionsTradingHours" to highlight the Options trading hours (open outcry session) by a rectangle in the background of a color specified by the "OptionsTradingHoursColor" parameter.

 

The protracted lines (the lines from the end of the open outcry session to the beginning of the next session) can be disabled now. Also, the dotted lines (the lines from the beginning of the ongoing trading session to its end in the future) can be disabled now too (useful when the realtime data drawing will be implemented).

 

Various bugfixes.

 

 

 

Download link:

http://directmirror.com/files/SQDRJNV3

http://mir.cr/RZGGNFVE

 

 

 

Planned in the nearest future:

 

OBEL-statistics indicator, extending OBEL-engine and OBEL indicator to gather and draw the realtime Options data, other further improvements as suggested by other members.

 

 

 

If you want to help:

 

Right now it would be very useful if you could verify whether the Options data as shown on these pages:

 

http://datasuite.cmegroup.com/dataSuite.html?template=opt&productCode=6E&exchange=XCME&selected_tab=fx

http://datasuite.cmegroup.com/dataSuite.html?template=opt&productCode=ES&exchange=XCME&selected_tab=equity-index

 

is really real-time or delayed. If you don't have access access to the CME datafeed you could try the R|TRADER with Zen-Fire (Rithmic) demo datafeed (allegedly should contain the Options data). The webpage to register for a demo and download R|TRADER is here (I don't have time to play with it myself):

 

http://www.zen-fire.com/pages/platforms/platforms.html

[Panzer]

UDC did you see this russian webpage, http://clusterdelta.com/expiration , and their forum, they are on almost same quest as people on this thread.

[udc]

No, haven't seen that webpage before. But it seems that they are dealing more with the Futures and the volume theory (which in case of CME currencies futures can not work at all) than with the Options, don't they?

[Panzer]

well , its the other way to go in a same direction as we are. I have been using vsa in trading and its very helpful in combination with Option levels. So faroptions give us asupport and resistance to the pip in some cases, which is almost as having order flow .

[udc]

OBEL-statistics - sneak peak (wrong implementation)

 

This is the way how to not do that:

http://img38.imageshack.us/img38/3536/obelstatisticswrong.png

 

The mini-table is fine, but the mini-chart is just terrible. I want some little space between each Call and Put and a little more space between days (the groups of Call+Put) and if you compromise with making the mini-chart this way it's impossible to do any of those little things. I did implement an automatic chart scale detection so whatever scale the chart is in (zoom in/zoom out) the mini-chart would always look the same, but it's just terrible nevertheless. Not to mention that if you scroll the chart back the mini-chart would be around the corner.

 

I will draw it the right way.

 

 

P.S.: well, to be honest I cut some corners with making the mini-table too. The title ("Options xxx") and the the expiry month (in round brackets) are character-wise centered, not pixel centered. It's visible on expiry month that is centered into 3 spaces so it ended up with having 1 space to the left and 2 spaces to the right, that's why it slightly leans to the left. But I guess that's not such a big deal.

Edited November 21, 2012 by udc

[udc]

I've made another little discovery that indicates that the realtime options webpage (http://datasuite.cmegroup.com/dataSuite.html?template=opt&productCode=6E&exchange=XCME&selected_tab=fx) is really realtime. The reason is that there is another CME webpage using the same engine but showing the 6E futures quotes and that webpage really does show the data in the real time. That other webpage is this: http://datasuite.cmegroup.com/dataSuite.html?template=nfx&productCode=6E&exchange=XCME&selected_tab=fx and here is the screenshot with the proof: http://img841.imageshack.us/img841/1803/eurusd6e.png (upper left is NT with realtime datafeed and bellow is mentioned webpage showing the same data updated at the same second).

 

So it looks promising. I am looking forward to start working on it as soon as I finish the statistics indi.

[traderx4]

Nice One!

;-)

[XPinbar]

Thanks for udc's info

[fxnizar]

http://i1236.photobucket.com/albums/ff444/fxnizar/op1.png

Friday

 

http://i1236.photobucket.com/albums/ff444/fxnizar/2012-12-10_1134.png

Monday

 

any observation ??

Nizar

[newbie0101]

Thanks udc for all of your work on this!

Does anyone know if a way to get these values from mt to ninja? Besides the obvious(manual entry).

Thanks for any ideas

[guedesjunior25]

Hi everyone. It's been a long time that i don't came here. After my huge loss because my huge ego, i stop trading for almost a year. I receive everyday e-mails fron friends with some new ideas, EAs, new methods of trading, or some old ones with some changes. I have dedicated a great amount of time searching for holy grail, like everyone i think... But after a while when you see that nothing can make you gain some money in this business, some of us give up, and others change the way how they see the market. When i discover how market runs, with market maker, stop hunters and how the huge mass of world traders always are wrong.... i think with myself...The professional, what they use to trade ? Volume? Options barrier? Delta Cluster indicator? DPOC? VWAP? Etc .......

And today we can have this tools too, and for free. So after i see what udc are doing, with this very nice indicator i decide to come back and learn some new ideas, (because we are always learning right) and maybe give some help to this threat again. Thanks again udc for your wonderful job.

I planted a seed here, it is good to see the tree grow... and they will grow much more. Very nice weekend to all.

[guedesjunior25]

http://img846.imageshack.us/img846/8059/nbnbnbnbnb.png Edited December 29, 2012 by guedesjunior25

[guedesjunior25]

http://img62.imageshack.us/img62/922/bgbgbgbg.png

[guedesjunior25]

http://img521.imageshack.us/img521/6236/trtrtrtrtr.png

[guedesjunior25]

All the indicators are free here (http://fxcoder.ru/) Thanks to Plus.

[guedesjunior25]

Hi everyone, just to explain what going on on the chart.

 

http://img404.imageshack.us/img404/9849/bigph.png

Edited December 30, 2012 by guedesjunior25

[guedesjunior25]

http://img585.imageshack.us/img585/4724/clusterchartredirect.png

Thanks to http://clusterdelta.com/main

Edited December 30, 2012 by guedesjunior25

[nguyentho]

Hi everyone, just to explain what going on on the chart.

 

http://img404.imageshack.us/img404/9849/bigph.png

Please share this indicator. Thanks

[traderx4]

Please share this indicator. Thanks

 

Read post 920!

[guedesjunior25]

URL=http://imageshack.us/photo/my-images/850/clusterdelta1.png/]http://img850.imageshack.us/img850/3849/clusterdelta1.png[/url

[guedesjunior25]

URL=http://imageshack.us/photo/my-images/37/clusterdata2.png/]http://img37.imageshack.us/img37/5223/clusterdata2.png[/url