Almanac Straddle of EUR/CHF in low volatility

Technical Glimpse:

Even though from current levels the oscillators indicating downward convergence to the declining price line on this curve, this range bounded pair (1.0812 - 1.0258) does not seem to breach sideline trajectory but instead ready to bounce back to upper Bollinger band at 1.0486 levels.

Stochastic: %K line = 26.5398; %D line = 32.6195

RSI (14) = 36.3117

Bollinger band (20) = Basis 1.0415

Vol (20) = 0

Hence, buy on dips as one has to try to catch the optimal entry points on this pair to build long positions.

Key event today:

Employment level (GMT 07:15) scheduled to be released today with consensus numbers at 4.21 millions of employed workers. Previously the same was seen at 4.23 millions as recorded by Swiss statistics.

Currency Option basket to hedge: Calendar Straddle (EUR/CHF)

The almanac straddle is to be employed by selling a near term straddle while buying a longer term straddle.

How to build: Long far month straddle + Short near month straddle

(i.e. Long on far month ATM Call & far month ATM Put + Short on near month ATM Call & near month Put)

The intention to profit from the rapid time decay of the near term options sold.

Expect a limited returns with limited risk.

Best suitable for those options trader who thinks that the underlying currency price will experience very little volatility in the near term.