On the verge of French and German manufacturing PMIs, today Euro's early market focus is likely to be on these 'flash' estimates of Eurozone PMIs for November.
The Euro zone aggregate preceded by French and German figures.
The data will provide a further read of activity trends in Q4 against a backdrop of comments from ECB officials on whether and what form of further policy easing may come at its meeting of 3 December. As a result, Euro has been experiencing higher volatility against G7 majors.
As you can observe from the diagrammatic representation, we've constructed put spread by considering gamma somewhere closer to zero that would neutralize the implied volatility impact on option price.
This position remains quite firm to achieve our hedging objectives (we've used price band between 0.7358 -0.6905), because we know gamma represents the change in delta, we still have healthier delta at -0.80.
This spread results in desired hedging objective irrespective of implied volatility disruptions as we have both ITM and OTM instruments on long and short side respectively and prevailing bear run will be taken by In-The-Money puts.
Gamma of ATM options near expiry increases, whereas the Gamma of ITM and OTM options decreases. The chart below shows the behavior of Gamma relative to time until expiry and the option's moneyness.


FxWirePro: USD/CNY hovers near a 3-1/2-year low, outlook bearish
GBP/JPY Surge: Broad Sterling Buying Eyes 217.00 Target
FxWirePro: USD/ZAR gains some ground as South African rand struggles amid renewed global uncertainty
FxWirePro- Major Crypto levels and bias summary
Currency Major Pairs: GBPUSD & AUDUSD Extremely Bullish as USDCAD Turns Deeply Bearish and Major levels to watch
FxWirePro: EUR/ AUD eases slightly, focus on near term support
FxWirePro: EUR/ AUD retreats, focus on near term support
FxWirePro: USD/ZAR recovers as traders assess US and South African data
FxWirePro: USD/JPY steadies around 159.30,retains bid tone
FxWirePro: NZD/USD edges higher as dollar weakens after tame US PPI data
FxWirePro- Woodies pivot (Major)
FxWirePro- Major Pair levels and bias summary
FxWirePro- Major Crypto levels and bias summary
FxWirePro: USD/CAD eases as soft US PPI data weighs on dollar
FxWirePro- Major Pair levels and bias summary
FxWirePro : EUR/NZD faces downside pressure ,eyes 1.9650 level
EUR/USD Surges Past 1.1570 as Weak US Retail Sales Fuel Bullish Momentum




