FXVOLRESEARCH
Premium Weekly FX Review
09 - April - 2018
Trade Ideas

Trade Idea: Two Week CAD Call USD Put Butterfly


Our short volatility trade recommendations are always in the form of a structure that has limited loss characteristics. 

There are two ways of exploiting the elevated premiums in the Two week CAD bucket. 

Buy CAD call butterfly : EG. Sell the atm straddle = 1.2720 for 1.23% and buy the 1.2560/1.2880 strangle for a debit of .39% for a net credit of .84%

Or Buy a call or put Condor EG buy the 1.2920 CAD Call sell the 1.2800 CAD call Sell the 1.2680 CAD call and buy the 1.2560 CAD call All for a net debit of approx. .46% All strikes on the same face amount 

Expiry 28-04-23 

Follow up at Expiry on the Condor

Spot at Expiration 1.2827
 
We Exercise the 1.2920 CAD call for a gross gain of 93 tics. Net of the premium paid (49 tics) = Net gain of 44 tics
 
In terms of Capital at risk the Condor maximum loss is 49 tics so the gross gain on Capital at is is 189% or 89% net. 
 
On the Butterfly the premium intake covers the loss of the 1.2720 so the net profit and loss is Zero. on the butterfly. 
 
 
 


 

 
Research Director
FXVOLRESEARCH  

Direct: 604-685-4414
skype: jamesrider1