Please be noted that the nutshell evidencing implied volatilities of EURUSD are shrinking away (the least among G7 FX space) while mounting positive risk reversal numbers indicate bullish risks in the long run amid minor obstacles.
Accordingly, we reckon that it wise to capitalize on these lower volatile conditions to deploy the OTM and ATM call option writing during the bearish scenario in the short run.
Getting leverage despite a slower market timing, the EURUSD appreciation is now going to be slower than it has recently been, and the skew is still undecided whether volatility should rise on the back of a higher or lower spot. As such, we do not focus on intermediary vega gains to favor instead a buy-and-hold structure benefiting from the passage of time, as the timing of euro upside is less certain.
The EURUSD appreciation has reached newer highs, those who’ve been dubious for further gains and thinks that pace is now going to be slower than it has recently been, the below options strategy has already been advocated.
The skew is still undecided whether volatility should rise on the back of a higher or lower spot.
As such, we do not focus on intermediary Vega gains to favor instead a buy-and-hold structure benefiting from the passage of time, as the timing of euro upside is less certain.
Mechanics: Buy EURUSD 3m ladder, strikes 1.15/1.20/1.23 indicative offer: 0.35% (vs 1.15% for the call ATM strike only, spot ref: 1.1694).


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