Vantage FX (www.vantagefx.co.uk) look at off-chart indicators and how they can assist with your trading.

Off-Chart Indicators

Today we are looking at a one-hourly AUD front month futures contract for December, in Chicago time.

By examining the observed volatility from one closing price to the next, we can see that on 16 October it was fairly subdued, running at the 6% mark. However the observed volatility suddenly picks up on 17 October to 13.5% because of the market move, then it comes down again.

Today it's at its highest level in almost a week - we've gone up to 19.5% because there is a spike followed by a reverse. Be sure to look at the price action carefully for spikes. We have drawn a pink line for implied volatility on a one month at the money put, and below that is the implied volatility at the money call (these are cash prices). We can see that there is a consistent skew - traders tend to prefer the puts over the calls (ie. selling rather than buying AUD).

We have plotted a histogram to show the volume within the hour along with a ten period moving average of the volume itself. Below that is the RSI, which can remain overbought for rather a long time before it goes under again. It is now almost oversold so look out for signs of basing.