EURUSD Hedge strategies using options
Written by QuantArt Market
Published on: 09 th November 2020
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 | Instruments | Buy Eur Call Strike | Sell Eur Call Strike | Sell Eur Put Strike | Cost (USD) |
|---|---|---|---|---|---|
| 1 | Plain Eur Call | 1.1800 | 0.0169 | ||
| 2 | Plain Eur Call | 1.1750 | 0.0197 | ||
| 3 | Plain Eur Call | 1.1825 | 0.0156 | ||
| 4 | Plain Eur Call | 1.1900 | 0.0123 | ||
| 5 | Eur Call Spread | 1.1800 | 1.2100 | 0.0108 | |
| 6 | Eur Call Spread | 1.1800 | 1.2000 | 0.0082 | |
| 7 | Eur Call Spread | 1.1850 | 1.2000 | 0.0057 | |
| 8 | Eur Call Spread | 1.1850 | 1.2100 | 0.0084 | |
| 9 | Eur long Seagull | 1.1800 | 1.2100 | 1.1700 | 0.0011 |
| 10 | Eur long Seagull | 1.1800 | 1.2100 | 1.1735 | 0.0000 |
| 11 | Eur long Seagull | 1.1825 | 1.2100 | 1.1700 | 0.0000 |
| 12 | Eur Range Forward | 1.1825 | 1.1700 | 0.0060 | |
| 13 | Eur Range Forward | 1.1900 | 1.1765 | 0.0000 |
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.