Kvaziobligatsii of currency


For example, if the GBP / JPY rose rapidly after a month or two after the creation of the position, we felt the need to get out of it early. Options, without having to experience the devastating effects of the time decay [2], could be of great value. In a preferred embodiment, to cover the risk, we will need additional resources in the amount of $ 10.776 that, given the margin for positions in FOREX is very unattractive. I now turn to a strategy that pleases beginners because it requires such a significant capital.

It is a strategy which combines "cap" ("ceiling") and "Flo" (floor), in other words - the purchase and sale of options "out of the money." While the price of the hedged asset is between the prices of the options, the strategy does not manifest itself, except for the need to divert margin. But when the price rushes outside exercise prices, the strategy behaves similar to the position in the underlying asset. Additional attraction is the possibility of selection of exercise prices at which the strategy will be to fund itself, without taking into account the margins. Selected for the strategy options (on a "debit = credit") are presented in Table 1 also shows the results for the period.

Please note that in this case the result was a 24% more efficient than using futures. On the whole it would take less than the margin of at least two times, which suggests a much more tangible benefits. Of course, this does not cover the exchange loss position on the pound / yen, but provides a total profit of $ 1382 as a result of cash inflows from the swap. The third option - the most difficult of all, it requires careful planning and understanding of the mechanism of dynamic risk management. Such strategies are taken to determine how to buy or sell volatility. In fact, they are based on the retention of the basic position in options, which regularly hedged underlying asset in the amount required to establish a market-neutral.

In general, these strategies are simple, but they are fraught with many pitfalls. The greatest difficulty lies in the choice of principles of rebalancing, from which, in fact, depends on the result will be positive or negative. In our case, the strategy requires a minimum purchase of two options "in the money": a put and a call for the pound for the yen. Accordingly, the maximum position on the currency increase to at least $ 180,000. Because risk management strategies volatility trading requires a reasonable minimum lots, in this embodiment, there is a need in the lots at $ 10,000. If this is not possible, and we will have to sell 100-thousand contracts, the maximum position to FOREX swell to $ 1,800,000, and we need at least 20 option contracts.

We are now more interested in the result, so forget about the volume of the position and see what will that risk management in trading the 10-thousand contracts.

Thus, the initial position - we use $ 90,000 to create a position in the pound / yen. Covering the risk is carried out by buying two 144-Jun-put a pound (3.35 = $ 2031, which requires the position of $ 4062) and two 76-June-called yen (2.19 = $ 2737, to the position - $ 5475). Miscalculation rebalancing options, includes a review of foreign currency position for every pound of 100 points and 200 points in the yen (which significantly more volatile in terms of standard deviation), shows pound brings total loss of about $ 1,000. Earnings per FOREX $ 3000 does not cover the loss of options, equal to $ 4,000. Yen gives the best result, which is based on the principle of risk management can range from zero to $ 2,000 +, allowing you to assess the likely outcome of the $ 1,000 prize. [3]