JPY Volatility Hedge

Discussion in 'Trading' started by daytrader85, May 30, 2007.

  1. Suppose one had a short straddle on a JPY options.

    Example: June JPY Futures @ .8246
    So, you decide to sell the June 8250 Straddle for 73 ticks.

    An increase in volatility would increase the price of the straddle and lose money. Is there anyway to hedge a potential in increase in volatility (like in late Feb with Chinese and U.S. stock market crash).

    I know you can roll the leg that is making money to a higher strike (put) or lower strike (call). But, with what happened on Feb 27th and days following the March Futures rallied nearly 400 ticks. Alternatively, you could make the spread into a butterfly.

    Is there any other way?

    Thanks.