EURUSD Hedge Strategies using Options
Forex Hedging
Published on: 14th December 2020
Forex Hedging Strategies
If you have EUR payables and USD receivables then you are possibly concerned about EUR strength against USD. EUR has already climbed 8.2% since this year against USD.
It is important to remain hedged. While forward hedge can lock your rate, options can allow you to benefit when EUR softens against USD.
Here, we present some low-cost option structures which can provide you protection and at the same time some benefits if EUR depreciates against USD.
Maturity: 3 months
Spot ref: 1.2125
Forward premium: 0.0026 (26 pips)
| Sell No | Instruments | Buy Eur Call Strike | Sell Eur Call Strike | Sell Eur Put Strike | Cost (USD) |
|---|---|---|---|---|---|
| 1 | Plain Eur Call | 1.2125 | 0.0187 | ||
| 2 | Plain Eur Call | 1.2075 | 0.0216 | ||
| 3 | Plain Eur Call | 1.2200 | 0.0151 | ||
| 4 | Plain Eur Call | 1.2300 | 0.0113 | ||
| 5 | Eur Call Spread | 1.2125 | 1.2425 | 0.0113 | |
| 6 | Eur Call Spread | 1.2125 | 1.2325 | 0.0085 | |
| 7 | Eur Call Spread | 1.2200 | 1.2350 | 0.0056 | |
| 8 | Eur Call Spread | 1.2200 | 1.2450 | 0.0082 | |
| 9 | Eur long Seagull | 1.2125 | 1.2425 | 1.2025 | 0.0003 |
| 10 | Eur long Seagull | 1.2200 | 1.2500 | 1.1975 | 0.0000 |
| 11 | Eur long Seagull | 1.2150 | 1.2500 | 1.2040 | 0.0000 |
| 12 | Eur Range Forward | 1.2150 | 1.2025 | 0.0064 | |
| 13 | Eur Range Forward | 1.2250 | 1.2075 | 0.0000 |