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31 Dec 2014
Sell USD/JPY holiday Volatility – ORE
FXStreet (Barcelona) - Merav Brenner of ORE explains that implementing the Butterfly strategy using options can be a profitable trade for the USD/JPY holiday volatility.
Key Quotes
“The USDJPY has declined dramatically since yesterday, -1.25%. Since it has risen, now trading at 119.319. This seems to be partially due to global concerns and partially due to low volume in trading.”
“The pair has relatively high volatility, 9.30% for an ATM 1 week duration option vs. 7.5% for the twin option in the EURUSD pair. This is mainly because this week’s moves.”
“Towards the coming days, with markets closed for the New Year and a bank holiday in Japan, selling the Volatility could be an interesting position to take in this pair.”
“A popular strategy that profits from a drop in volatility and a low trading range with limited losses is a Butterfly strategy.”
“To build such a strategy you buy the options with the strikes between which you think the range will remain for the period you wish to hold this position and sell the mid strike on double the amount of the end strikes.”
Key Quotes
“The USDJPY has declined dramatically since yesterday, -1.25%. Since it has risen, now trading at 119.319. This seems to be partially due to global concerns and partially due to low volume in trading.”
“The pair has relatively high volatility, 9.30% for an ATM 1 week duration option vs. 7.5% for the twin option in the EURUSD pair. This is mainly because this week’s moves.”
“Towards the coming days, with markets closed for the New Year and a bank holiday in Japan, selling the Volatility could be an interesting position to take in this pair.”
“A popular strategy that profits from a drop in volatility and a low trading range with limited losses is a Butterfly strategy.”
“To build such a strategy you buy the options with the strikes between which you think the range will remain for the period you wish to hold this position and sell the mid strike on double the amount of the end strikes.”