Today's edition of the Saxo Morning Call features the SaxoStrats team discussing the continuing weakness of the US dollar as commodity prices recover ground and in the wake of key US equity indices hitting all-time highs Thursday.
Squawk / 17 January 2018 at 17:23 GMT
For my education.
1) My Vanilla Long Put on USDCAD is exactly at the same level like before BoC rate hike announcement, but Option is still in pretty big loss (position entered on Monday). I assume it's because volatility on instrument has sharply increased. Is this true?
2) Where can I read online impl. and historical Vols on FX pairs, please? Of course I have no Bloomberg terminal.
Mekong Mekong
Not knowing much about your position, I would think implied volatility was elevated before the decision, and now the announcement is out, it has come out. Much like a fall in implied volatility in a stock options after an earnings release.
Market Predator Market Predator
Hi Mekong, thx. for your comment!
Market Predator Market Predator
This is something for having fun. BTW: today I'm analyst :) Hope time into expiration will play for me.
fxtime fxtime
LOL....can I ask do you look at IV as a measure to IVR ? Are you using monthly options expiries or quarterly ? Why trade vanilla long put as could write synthetically to lower margin and enhance b/e Strangle/Straddle synthetics?
Market Predator Market Predator
Hi fx, I assumed sharp move. It's OTC Option with expiry next Wednesday (possible to transform into spot instead of cash). Regarding Vol, it's a good question. I do not remember what was it during entering position. I now nothing about synthetic Options :(


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