EURUSD Hedge Strategies using Options

Forex Hedging 

Published on: 14th December 2020

Libor Transition– Impact on Indian corporates

Forex Hedging Strategies

If you have EUR payables and USD receivables then you are possibly concerned about EUR strength against USD. EUR has already climbed 8.2% 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: 1.2125

Forward premium: 0.0026 (26 pips)

Sell No InstrumentsBuy Eur Call StrikeSell Eur Call Strike Sell Eur Put Strike Cost (USD)
1Plain Eur Call 1.21250.0187
2Plain Eur Call1.20750.0216
3Plain Eur Call1.22000.0151
4Plain Eur Call1.23000.0113
5Eur Call Spread1.21251.24250.0113
6Eur Call Spread 1.21251.23250.0085
7Eur Call Spread1.22001.23500.0056
8 Eur Call Spread1.22001.24500.0082
9 Eur long Seagull1.21251.24251.20250.0003
10Eur long Seagull1.22001.25001.19750.0000
11Eur long Seagull1.21501.25001.20400.0000
12Eur Range Forward 1.21501.20250.0064
13Eur Range Forward1.22501.2075

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