Michael Schmeja, Global Head of Derivatives Sales, Saxo Bank
A very uninspiring spot market keeps volatility unchanged, nearly to the figure compared to yesterday. Some trades in the broker market that are worth to mention:
EURUSD Put has been bought, 1 month, 1,2300 at 13.30 vol in about 300 Mio
EURJPY 15 delta strangles, 1 year, at 19.50 vol in 100 Mio per leg
Small bits and pieces traded in USDJPY and AUSUSD with both sides in equal demand for shorter maturities.
I will sell out my remaining 25% spot EURJPY at 111.50 with the option due to expire on Thursday. No other changes.
Short term Trading ideas:
EURJPY
Comment:
I buy spot, notional 1 at 111.25
I buy expiry 1 month 15th of July a 109 EUR Put, notional 1
I sell expiry 1 month 15th of July a 114 EUR Call, notional 1
Cost of 23 JPY pips on a notional of 1, after I bought back the 0.55 overhang. I sold 75% of my spot position at 111.95. Depending on the price action I will trade the spot until expiry against the option.
EURNOK
Comment:
Sold EURNOK Call, Strike 8.0700, Exp 1 month, 26th of July for 510 NOK pips
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