I don’t know if you noticed, but there is serious pinning going on with the Euro today.

Implications.

Today is Wednesday – so they are making someones options expire worthless – or just rake in a great loss such as anything that had its maximum pain level set at 1.10 – i.e. a straddle.

This is only half of the story, for during the peg one can get a great deal on a directional play, such as a 1.12 call that would expire on Friday. These out of the money strikes 3 days into the week (most of the Theta taken out) and volatility flatlining must be dirt cheap.

How do you peg the price? You do the opposite as you would normally. Instead of giving fills for everything, you start not giving fills. To get the price stay range bound, you need to open the Volatility Whip wide: on the picture above, after the red tail (that followed the left shoulder) comes the head with the “whoop” print – which ended the wave structure down. Coming out of the head is the V-leg with its full lambda range and the downside whip to match it is the W leg (Bam!). Until these terminal points do not get exceeded by more than 5 pips, you only saw a fake out / failed break (WTF), and this is where you must interfere to put back the price inside the range.