The majority of central banks are happy with conventional measures such as that, but not the SNB. During the Brexit night, the Swiss National Bank intervened.

After all, everyone is meant to realize that the Swiss central bank will not tolerate an excessive appreciation of the franc. And after all, that is not exactly a new feature of Swiss monetary policy.

The Swiss central bank is aimed at easing pressure on the Swiss franc through monetary policy. The SNB intervenes for nearly 5bln Swiss francs in the week ending last Friday.

Focus on EUR and possibly GBP. This is the highest amount since January 2015.

Seven billions come from Swiss banks, while foreign banks and others removed 2 billion and possibly moved into the dollar.

OTC Outlook:

Elsewhere, the ATM implied volatility of 1W AUDCHF expiries are trading at 9.9% and 10.38% for 1m tenors.

In the sensitivity tool, if you have to evaluate these IVs and premiums with probabilistic figures in distinctive scenarios of OTM strikes, the options pricing seems reasonable, which means more likelihood of these puts expiring in the money.

As you can observe healthy gamma on OTM strikes, since Gamma is always a positive value, you can add this healthy gamma to the value of the current Delta to estimate the new Delta in a rising market.

Like the delta, the gamma is constantly changing, even with tiny movements of the underlying stock price. It generally is at its peak value when the underlying spot price is near the strike price of the option and decreases as the option goes deeper into or out of the money.

Options that are very deeply into or out of the money have gamma values close to 0.

You can also observe the performance of these contracts (see %change in premiums).

Technicals also say, from last 6-8 months of consolidation pattern has been showing little spikes but hanging at channel resistance and at 7EMA.

We now emphasize "0.7259" (7DMA areas) as a strong support on the upswings as shown on the daily graph.

Currency Option Trading:

With above reasoning, use we recommend diagonal option straps strategy using gamma instruments as AUD/CHF intermediary term bullish environment holding stronger despite small attempts of bears taking over rallies and wish to earn capital gains.

Considering above reasoning, capitalizing a bit on this ongoing uptrend sentiments in this pair, we reckon straps likely to fetch handsome yields by using recovery rallies with an objective of profit maximization.

Hence, Weights are to be more to cushion downside risks as a result, we recommend holding 2W at-the-money -0.49 delta put and simultaneously hold 2 lot of 1M at-the-money 0.51 delta call options.