FX Vol Premium Trade Ideas
Sep 13, 2021
06:41 AM Singapore Time
2-Week vs 1-Month USD-CAD Calendar

Trade Unwind
Sept 29th 1:28PM PST
Spot ref 1.2762

We sell the Oct 13th 1.2800 USDCall

at 7.85 Vol for 61 tics

Gross Gain 61/28 = 217%



Sept 27th 2021

The Sept 27th 1.2800 short USDCall Expires out of the money



Spot Ref 1.2685


2-Week Expiry 2021 - 09- 27 (14-Days)
1M-Expiry 2021-10-13 (30-Days)

Sell 2-Week 1.2800 CAD PUT USD Call 42.2 Tics (8.92Vols)
Buy 1M 1.2800 CAD PUT USD Call 70.2 Tics (8.06 Vol)
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Total Premium Paid 28 Tics net


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