This trade is largely discretionary.
The implied vol level is not onerous when viewed on a 10 Year chart above. However our indicators look back at less data, and on this basis, CHF is still considered only fair value while the implied vol is more attractive in relation to the actuals.
Because of the forward decay, this trade is struck ATM forward at a rate under the current spot because of the forward points. So in a sense, we are picking up the forward decay. We are also taking advantage to some extent of the risk reversal curve which in the one year remains bid over for CHF calls (USD Puts).
We would put order into hedge 50% of the delta at 94.50
