Premium Weekly FX Review
30 - APR  - 2018 2:54PM PST
Trade Unwind 
Trade Unwind on July 16th Spot Ref 18.903

Buy AUG 1st 19.00 MXP Call USD Put @ 1.26%
Sell Oct 31 MXP Call USD Put  @ 2.31%
Net Credit =1.05%

Initial Cost of the Calendar Spread was 0.18%
Gross % Return = 583% (1.05/0.18)

Trade Idea Mex 3M - 6M MXP Call Calendar 
The pricing on this is indicative but the idea is the use the vol curve spread, and the foward points as a way of structuring a MXP call calendar spead. 

The 3 mos vol running at around 14.52 and six month vols running at 13.8 with the spot around 18.72 and with the forward point aournd 27.05 for the 3mos and 54.44 for the six months one idea is to:

  • Sell MXP Call k=19.00 (USD put) for expiry 3Mos :2018-08-01 for 2.92%
  • Buy MXP Call  k=19.00(USD put) for expiry 6mos 2018-10-31  for 3.10%
  • ___________________________________________________
  • Net Cost - 0.18% 

The 3mos 19.00 MXP call has a 49 delta
The 6mos 19.00 MXP call has a 42 delta 

So on trade date the spread is just slightlly short 7 deltas (short MXP long USD)



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