Exporter Option Strategies

Written by QuantArt Market

Forex Hedging | 10 min Read

Updated on : 15th January 2021

Please find below the pricing.
Spot Reference:- 73.10

Month	Jan-21
Sl. No.	Strategy name	Cost
1	Forward	-0.10
2	Plain Put strike at 73.1	0.20
3	Plain Put strike at 72.6	0.06
4	Plain Put strike at 72.1	0.01
5	Plain Put strike at 71.6	0.00
6	Plain Put strike at 73.6	0.51
7	Range Forward (Buy Put at 73.1/Sell Call at 75.1)	0.20
8	Range Forward (Buy Put at 73.1/Sell Call at 74.1)	0.16
9	Range Forward (Buy Put at 73.6/Sell Call at 74.6)	0.50
10	Range Forward (Buy Put at 72.6/Sell Call at 75.1)	0.05
11	Range Forward (Buy Put at 72.6/Sell Call at 74.6)	0.05
12	Range Forward (Buy Put at 72.6/Sell Call at 74.1)	0.02
13	Put Spread (Buy Put at 73.1/Sell Put at 72.1)	0.19
14	Put Spread (Buy Put at 72.1/Sell Put at 71.1)	0.01

Month	Feb-21
Sl. No.	Strategy name	Cost
1	Forward	-0.37
2	Plain Put strike at 73.1	0.33
3	Plain Put strike at 72.6	0.18
4	Plain Put strike at 72.1	0.09
5	Plain Put strike at 71.6	0.04
6	Plain Put strike at 73.6	0.59
7	Range Forward (Buy Put at 73.1/Sell Call at 75.1)	0.22
8	Range Forward (Buy Put at 73.1/Sell Call at 74.6)	0.15
9	Range Forward (Buy Put at 73.1/Sell Call at 74.1)	0.05
10	Range Forward (Buy Put at 72.6/Sell Call at 75.1)	0.06
11	Range Forward (Buy Put at 72.6/Sell Call at 74.85)	0.03
12	Range Forward (Buy Put at 72.1/Sell Call at 75.6)	0.02
13	Put Spread (Buy Put at 73.1/Sell Put at 72.1)	0.25
14	Put Spread (Buy Put at 72.1/Sell Put at 71.1)	0.07

Month	Mar-21
Sl. No.	Strategy name	Cost
1	Forward	-0.66
2	Plain Put strike at 73.1	0.43
3	Plain Put strike at 72.6	0.27
4	Plain Put strike at 72.1	0.16
5	Plain Put strike at 71.6	0.10
6	Plain Put strike at 73.6	0.66
7	Range Forward (Buy Put at 73.1/Sell Call at 75.1)	0.10
8	Range Forward (Buy Put at 73.1/Sell Call at 74.6)	-0.01
9	Range Forward (Buy Put at 73.1/Sell Call at 74.35)	0.00
10	Range Forward (Buy Put at 72.6/Sell Call at 76.1)	0.10
11	Range Forward (Buy Put at 72.6/Sell Call at 75.4)	0.00
12	Range Forward (Buy Put at 72.1/Sell Call at 76.1)	-0.01
13	Put Spread (Buy Put at 73.1/Sell Put at 72.1)	0.27
14	Put Spread (Buy Put at 72.1/Sell Put at 71.1)	0.11

Month	Apr-21
Sl. No.	Strategy name	Cost
1	Forward	-0.94
2	Plain Put strike at 73.1	0.54
3	Plain Put strike at 72.6	0.38
4	Plain Put strike at 72.1	0.26
5	Plain Put strike at 71.6	0.17
6	Plain Put strike at 73.6	0.76
7	Range Forward (Buy Put at 73.1/Sell Call at 76.1)	0.15
8	Range Forward (Buy Put at 73.1/Sell Call at 75.6)	0.06
9	Range Forward (Buy Put at 73.1/Sell Call at 75.5)	0.04
10	Range Forward (Buy Put at 72.6/Sell Call at 76.1)	0.00
11	Range Forward (Buy Put at 72.1/Sell Call at 76.85)	-0.01
12	Range Forward (Buy Put at 73.6/Sell Call at 74.6)	0.01
13	Seagull (Buy Put at 74.1/Sell Put at 72.85/Sell Call at 75.6)	0.10
14	Seagull (Buy Put at 73.6/Sell Put at 72.1/Sell Call at 75.85)	0.08

Month	May-21
Sl. No.	Strategy name	Cost
1	Forward	-1.20
2	Plain Put strike at 73.1	0.57
3	Plain Put strike at 72.6	0.42
4	Plain Put strike at 72.1	0.30
5	Plain Put strike at 71.6	0.21
6	Plain Put strike at 73.6	0.78
7	Range Forward (Buy Put at 73.1/Sell Call at 76.1)	0.00
8	Range Forward (Buy Put at 73.1/Sell Call at 76.1)	0.00
9	Range Forward (Buy Put at 72.6/Sell Call at 77.1)	0.03
10	Range Forward (Buy Put at 73.6/Sell Call at 75.35)	0.04
11	Range Forward (Buy Put at 73.35/Sell Call at 75.6)	-0.01
12	Seagull (Buy Put at 74.35/Sell Put at 72.85/Sell Call at 75.85)	0.07
13	Seagull (Buy Put at 74.1/Sell Put at 72.6/Sell Call at 76.1)	0.05
14	Seagull (Buy Put at 73.6/Sell Put at 72.1/Sell Call at 76.6)	0.02

Month	Jun-21
Sl. No.	Strategy name	Cost
1	Forward	-1.54
2	Plain Put strike at 73.1	0.58
3	Plain Put strike at 72.6	0.44
4	Plain Put strike at 72.1	0.33
5	Plain Put strike at 71.6	0.24
6	Plain Put strike at 73.6	0.78
7	Range Forward (Buy Put at 73.1/Sell Call at 77.1)	0.01
8	Range Forward (Buy Put at 73.1/Sell Call at 76.6)	-0.09
9	Range Forward (Buy Put at 72.6/Sell Call at 77.35)	-0.09
10	Range Forward (Buy Put at 73.6/Sell Call at 75.85)	-0.07
11	Range Forward (Buy Put at 74.1/Sell Call at 75.35)	0.02
12	Seagull (Buy Put at 75.1/Sell Put at 73.6/Sell Call at 76.1)	0.01
13	Seagull (Buy Put at 74.6/Sell Put at 73.1/Sell Call at 76.4)	-0.01
14	Seagull (Buy Put at 74.1/Sell Put at 72.6/Sell Call at 76.9)	-0.03

Exporter 24 Month Forward Premium and Zero Cost Range Forward

Spot Date	Jan-21	GBP		EUR		USD		Zero Cost Pricing
Spot Ref		99.81		90.25		73.1		Spot Ref
Sl. No	Tenor	Fwd Pips Bid	Fwd Rate Bid	Fwd Pips Bid	Fwd Rate Bid	Fwd Pips Bid	Fwd Rate Bid	Buy Put	Sell Call
1	29-01-2021	0.23	100.0	0.24	90.49	0.16	73.4	73.1	73.40
2	26-02-2021	0.53	100.3	0.55	90.80	0.37	73.6	73.1	73.85
3	31-03-2021	0.92	100.7	0.95	91.20	0.64	73.9	73.1	74.43
4	30-04-2021	1.31	101.1	1.35	91.60	0.92	74.2	73.1	75.03
5	28-05-2021	1.68	101.5	1.73	91.98	1.18	74.4	73.1	75.63
6	30-06-2021	2.16	102.0	2.21	92.46	1.52	74.8	73.1	76.39
7	30-07-2021	2.56	102.4	2.62	92.87	1.80	75.1	73.1	77.05
8	31-08-2021	2.98	102.8	3.05	93.30	2.10	75.3	73.1	77.73
9	30-09-2021	3.38	103.2	3.46	93.71	2.38	75.6	73.1	78.38
10	29-10-2021	3.76	103.6	3.85	94.10	2.64	75.9	73.1	78.99
11	30-11-2021	4.19	104.0	4.29	94.54	2.93	76.2	73.1	79.65
12	31-12-2021	4.61	104.4	4.71	94.96	3.22	76.5	73.1	80.27
13	31-01-2022	5.02	104.8	5.14	95.39	3.51	76.8	73.1	80.86
14	28-02-2022	5.36	105.2	5.53	95.78	3.77	77.0	73.1	81.44
15	31-03-2022	5.825	105.6	5.96	96.21	4.07	77.3	73.1	82.09
16	29-04-2022	6.225	106.0	6.37	96.62	4.34	77.6	73.1	82.70
17	31-05-2022	6.67	106.5	6.83	97.08	4.65	77.9	73.1	83.38
18	30-06-2022	7.0925	106.9	7.25	97.50	4.94	78.2	73.1	84.01
19	29-07-2022	7.5	107.3	7.67	97.92	5.23	78.5	73.1	84.63
20	31-08-2022	7.965	107.8	8.15	98.40	5.55	78.8	73.1	85.34
21	30-09-2022	8.3925	108.2	8.60	98.85	5.85	79.1	73.1	85.97
22	30-10-2022	8.835	108.6	9.05	99.30	6.16	79.4	73.1	86.63
23	30-11-2022	9.2675	109.1	9.50	99.75	6.46	79.7	73.1	87.29
24	30-12-2022	9.7025	109.5	9.95	100.20	6.77	80.0	73.1	87.97

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