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The pricing on this is indicative but the idea is the use the vol curve spread, and the foward points as a way of structuring a MXP call calendar spead.
The 3 mos vol running at around 14.52 and six month vols running at 13.8 with the spot around 18.72 and with the forward point aournd 27.05 for the 3mos and 54.44 for the six months one idea is to:
- Sell MXP Call k=19.00 (USD put) for expiry 3Mos :2018-08-01 for 2.92%
- Buy MXP Call k=19.00(USD put) for expiry 6mos 2018-10-31 for 3.10%
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- Net Cost - 0.18%
The 3mos 19.00 MXP call has a 49 delta
The 6mos 19.00 MXP call has a 42 delta
So on trade date the spread is just slightlly short 7 deltas (short MXP long USD)
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