Is anyone aware of brokers offering fx options that have a 1 or 2day lifetime. I am looking for something like what Saxobank offers but the shortest time frame is 1week expiry options.
As you've stated, Saxo won't offer anything under 7-days and won't pick up the phone to make a market on anything of shorter duration. You can imagine you'd not be pleased with the market you would receive on the odd-chance they answered your call. I've had a lot of luck with Oanda's touch markets. You can trade American exotics outright or replicate the Euro exotic synthetically. I took them for an arb some months back, but they will make an acceptable market on anything up to the $20,000 global limit on 5-minute to 180-day durations. You cannot replicate a vanilla call or put payoff, but a lot of binaries can be synthesized.
I actually looked into oanda a long time ago, i built a vol. arb. system to trade their box options, it was profitable but wasn't worth the trouble since i had a better strategy to employ. Presently i have really forgotten all about them. How have you found their exotics pricing, i usually find trading exotics outright very expensive.
I was arbing their synthetic Euro binary against interbank for ~1500-1800 bp locks. Their markets are a bit better than other retail-oriented dealers. Very short durations are not replicable for the dealer, so you're going to pay.