FX Vol Premium Trade Ideas
Apr 13, 2021
06:07 AM Singapore Time
2 Week vs One Month EURCAD Call Diagonal Spread

May 9th 2022

Spot Ref 1.3700

We are selling the May 17th 1.3675 based on a spot of 1.3700

Net Premium is 93 CAD tics

Gross Gain is 93/61.6 = 150% (50% net)



Spot Ref 1.3541

The 1.3700 short legs expired today out of the money
We are now long a May 17th 1.3675 EURCAD. We will now look to sell this option on a spot of preferably 1.3675 or higher but will follow the price action accordingly

Spot Ref 1.3690


Two-Week Expiry 2022 - 04- 27 (14Days)
One Month Expiry 2022-05-17 (34Days)

Sell EURCAD EUR Call Strike 1.3700 @ 101 CAD tics
Buy EURCAD EUR Call Strike 1.3675 @ 162.6 CAD tics
  • ____________________________________________
  • Total Premium Paid is 61.6 CAD Tics
The better spread is now in the two-week vs one month following the first round of the French Elections
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