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07 - Dec - 2020 06:47 AM PST
EURGBP Call Calendar Spread: Two Months vs. Six
Spot Ref .9122
Sell 2M 9300 EUR Call GBP Put for 97.3 tics vol Ref 11.33 35 Delta
Buy 6M 9300EUR Call GBP Put for 168.1 tics vol Ref 8.98 41 Delta
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Net cost in tics = 70.80
2M Expiry Date is 2021 - 02 - 05
6M Expiry Date is 20121- 06-07
James Rider
Research Director
FXVolResearch
Suite 439 - 1231 Pacific Blvd.,
Vancouver, B.C. V6Z 0E2
604-685-4414
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