EUR/USD Market Update With TWAP

Yesterday in our EUR/USD Market Update we mentioned the stubborn support level... and it still holds. Today the market tested again that level inside of the daily balance area and could not continue to move lower. Same picture for the US Dollar Index that is trading inside of a bracket with a resistance level.

Daily

240 minutes

US Dollar Index (Daily)

Anyway, here is the TWAP Update for EUR/USD. We will using the monthly, weekly and intra-day TWAP to better visualize the current imbalances and balances that occuring on the various timeframes. Here is the description about TWAP from our Trading Glossary again:

Twap is an abbreviation for the Time Weighted Average Price. This is just like VWAP only it is weighted upon time. This is also an order type that many institutional investors utilize to work in and out of significant positions. It behaves like an Iceberg order by only showing a certain amount of orders to be executed but continues to refresh the orders throughout the session until the position is complete.

Let's start out with the monthly TWAP and we can see a quite rotational month so far. The market is trading around the previous month's VAL close level and sitting currently above the monthly developing value low. There is actually plenty room for a downside move:

With looking at the weekly TWAP, we can see that the market has been rejected several times from the previous week's VAL close level. The market is trading in a rotational behavior here as well.

Moving forward to the intra-day TWAP, we can observe resistance at the previous day's VAH close level and a small selling imbalance in the London session. However, the market found support at our persistent level and lead the market back into the developing value to quiet down a bit.

As said, there is still plenty room for the downside. The US Dollar Index seems also ready to test the daily bracket area high. Anyway, firstly and foremost the market have to breakt the mentioned levels. Keep it simple and be open minded for every scenario.

Stay happy!

All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.

EUR/USD (6E) TWAP Market Update

All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.

Here is a quick top down TWAP perspective on the currency pair EUR vs USD. Firstly let's take a look into our Trading Glossary about TWAP:

Twap is an abbreviation for the Time Weighted Average Price. This is just like VWAP only it is weighted upon time. This is also an order type that many institutional investors utilize to work in and out of significant positions. It behaves like an Iceberg order by only showing a certain amount of orders to be executed but continues to refresh the orders throughout the session until the position is complete.

With this informaiton in our mind let's going through the monthly, weekly and intra-day TWAPs. Make sure to have time based charts as this is a Time based tool. However, this is our logical preference but you can playing around with whatever other chart formats as well. The Forex market is a 24 hours market, so there is no point in using a 'London Session', 'U.S. Session' or name them all. With that said, all charts here are ETH/Globex based and representing the march futures contract (6E). Like always it is your free choice in which way you will use this tool.

As usual, we beginning with the monthly TWAP. Looking at this installed tool, we can see a cleary selling imbalance with the developing value slope to the downward. The market opened below the previous month's value close area and since that point it rejects the developing value low. In summary a very bearish rated view here.

Moving forward to the weekly TWAP, we can observe an open below the previous week's value close area with a developing value slope to the upward. Additionally the market is trading in a balanced behavior, so a break above should lead us to the previous week's VAL close level but we should be very careful to take any long trades with the bearish HTF macro perspective, especially with the strong US Dollar index. Anyway, everything can happen and we should have an open mind for potential changes in the market context.

Now looking at the intra-day VWAP, we can see an open below Friday's value close area and a developing value slope to the upward. Currently we got back into the previous value area and trading above the developing value. Test of the previous TWAP close level as well as a rotational move back to the developing value low are possible scenarios. We'll see what will happen here.

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Stay happy!

TWAP in action: EUR/USD

Twap is an abbreviation for the Time Weighted Average Price. This is just like VWAP only it is weighted upon time. This is also an order type that many institutional investors utilize to work in and out of significant positions. It behaves like an Iceberg order by only showing a certain amount of orders to be executed but continues to refresh the orders throughout the session until the position is complete.

With that said, let's take a look at today's EUR/USD action with TWAP. On the monthly TWAP we can observe a reaction at the developing value area high and a move down straight through the TWAP to the DVAL. This DVAH was also somewhat confluent with last month's VAL close level.

More interesting on the weekly TWAP is the confluence with last week's VAH close level. Amazing reaction at this level lead us to the other side and below of value.

With a elite membership on the Private Banker community you can read a more indepth top down analysis here: EUR/USD Top Down Market Analysis

And alongside with a premium membership you can learn to use tools like VWAP/TWAP properly. Also to mention is our Trading Glossary to better understand the various terms we use in our tweets and posts.

Stay happy,

Sebastian