A partir de ahora somos Elev8
Somos más que un simple corredor. Somos un ecosistema de trading todo en uno: todo lo que necesitas para analizar, operar y crecer está en un solo lugar. ¿Listo para elevar tu trading?
Noticias de trading
6 Feb 2017
Buy USD/JPY calendar call – Societe Generale
Forex Weekly note from Societe Generale Cross Asset Strategy team recommends buying Dollar-Yen calendar call.
Rationale
USD/JPY forward volatility premium is the cheapest in G10 (only inverted curve).
Volatility is historically high, making long FVAs unattractive (poor odds).
The vol curve steepens when the spot rises, suggesting a calendar call. 2m is the most expensive tenor: we Sell it and Buy the 4m, both at the 116 strike.
Setting a global KO at 110 nearly halves the premium and makes the trade profitable between 111 and 122 in two months, if the short call expires OTM.