FXVOLRESEARCH
Premium Weekly FX Review
31 - Mar - 2020  06:24 Singapore Time  

3M vs. 6M AUD Call Calendar 


Trade Idea: Sell 3M 6500 AUD Call buy Six Month 6500 AUD Calls  
Given the lack of liquidity in the market we would leave this trade as an order. 
Three Month Expiry 2020 -07 - 01  
Six Month Expiry 2020-10-01

3M AUD Call Sell AUD points 40.3  Vol 12.78
6M AUD Call Buy AUD points 72.8  Vol 11.42
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Net Cost 32.5 AUD points

3M AUD delta -19
6M AUD delta +25
________________
Net delta at Trade date +06



 


 

 
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