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EURUSD Hedge strategies using options

Written by QuantArt Market

Forex Hedging | 10 min Read

Published on: 09 th  November 2020

Libor Transition– Impact on Indian corporates

If you have EUR payables and USD receivables then you are possibly concerned about EUR strength against USD. EUR has already climbed 6.6% since this year against USD.

It is important to remain hedged. While forward hedge can lock your rate, options can allow you to benefit when EUR softens against USD.

Here, we present some low-cost option structures which can provide you protection and at the same time some benefits if EUR depreciates against USD.

Maturity: 3 months
Spot ref: 1.1800
Forward premium: 0.0026 (26 pips)

Sell No InstrumentsBuy Eur Call StrikeSell Eur Call Strike Sell Eur Put Strike Cost (USD)
1Plain Eur Call1.18000.0169
2 Plain Eur Call1.17500.0197
3Plain Eur Call1.18250.0156
4Plain Eur Call1.19000.0123
5Eur Call Spread1.18001.21000.0108
6Eur Call Spread 1.18001.20000.0082
7Eur Call Spread1.18501.20000.0057
8 Eur Call Spread1.18501.21000.0084
9Eur long Seagull1.18001.21001.17000.0011
10Eur long Seagull1.18001.21001.17350.0000
11Eur long Seagull1.18251.21001.17000.0000
12Eur Range Forward 1.18251.17000.0060
13Eur Range Forward1.19001.17650.0000

For more pricing and discussion on the strategies, contact us 

Check out our other article on USDINR Hedge strategies using options and LONG TERM USD LOAN HEDGING COST For a one-on-one video presentation on these points fill-up the form below.

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