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Volatility
Options fall into the category of being slightly undervalued in non-volatile markets in the weekly options report.
Notes:
Contract Size - $125,000 Euros
Tick Size: 0.0001=$12.50 for premium
Trading Hours:
Sunday - Friday 6:00 p.m. - 5:00 p.m. (5:00 p.m. - 4:00 p.m. Chicago Time/CT) with a 60-minute break each day beginning at 5:00 p.m. (4:00 p.m. CT).
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EUROFX
Below are weekly & daily charts for reference.
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Strategies
Below is the starting position for a vertical swap spread. This is a conservative structure with positive Vega that would benefit if volatility ran higher.
The position underneath represents the suggestion in our weekly options report with a reverse calendar call spread. This has negative Vega which benefits as implied volatility reverts to historic levels lowers.
The % yield shown in the diagrams below represent an estimated return on margin from projected dates shown below. The structure has positive time decay which is an advantage over holding outright options.
