Premium Weekly FX Review
21 Sept -2020 | 10:40 PST |
Two Month vs. Six Month MXN Calendar Trade
Nov 19th At Expiration Spot USDMXN = 20.23

We are assigned on the 21 MXN Call producing a next loss of 21-20.23 = .77 / 21.00 = 3.66%
We sell the now 4 month 21 MXN Call for 4.85%
Net we receive 1.19%
Cost of the Trade = 0.71%
Gross Gain on Capital = 1.19/0.71 = 167%
As we mentioned in our weekly commentary this trade is one that is worth consideration.
Spot Ref 21.443
Sell 2 Month MXN 21.00 MXN Call (USD Put) vol ref 16.05 @ 1.39% Expiration 2020-11-19
Buy 6 Month MXN 21.00 MXN Call (USD Put) vol ref 13.76 @ 2.10% Expiration 2021-03-19
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Net Cost in % of USD = 0.71%
Equal Amounts each period
At trade date this is basically Delta Neutral 32 delta for the two month vs 31 delta for the six month.
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James Rider
Research Director
skype: jamesrider1
Suite 439 - 1231 Pacific Blvd,
Vancouver, BC V6Z 0E2 Canada
James Rider | 604-685-4414