Aussie dollar has been in good mood of buying against Yen, it is now making an attempt of recovery a bit as both technical and fundamental indicators are signaling buying sentiments, and we've run through the bullish indications based on technical reasoning in our recent post.

Please refer below link for further technical readings:

http://www.econotimes.com/FxWirePro-AUD-JPY-long-entry-triggered-after-clear-confirmation-of-break-out-of-apex-point-117367

Vega on Long ATM Call = 494.75
Vega on Long (1.5%) OTM Call = 296.54

The current IV of AUDJPY ATM call is higher side at 14.58% which is good for writers, usually if the Vega of a long option position is positive and the implied volatility rises or dips, the above stated option prices are directly proportional to the implied volatility.

So in this case Vega both on long position is reasonably acceptable. It is desirable that at maturity the underlying exchange rate of AUDNZD to remain near short strikes in order to achieve highest returns.

Hence, we recommend it is better to cover all your shorts and as shown in the diagram purchase 2 lots of 15D at the money +0.51 delta calls and simultaneously short 1 lot of 1W (1.5%) out of the money call with positive theta in the ratio of 2:1.

The higher strike short calls because IV is inching higher at 14.58% (this is good news for option writers) and it finances the purchase of the greater number of long calls (ATM calls are overpriced, so we chose 1% OTM calls as well) and the position is entered for reduced cost.

If established for a net debit, the break-even point is equal to higher strike plus the maximum risk (higher strike minus lower strike plus the net debit paid).