Nice edge on dollar-yen upside no touch

Discussion in 'Forex' started by atticus, Jun 22, 2010.

  1. Oanda is offering cheap no-touches on yen tonight. Even with the Fed this is approximately 70bp under atm vol fairval at 79/100 paid.

    USDJPY 91.85 no touch
    Expiration: 6/27/10 at 20:00 EDT
    Payoff: 79 pays 100 if not touched

    I may buy 10 deltas in spot, but will likely leave it unhedged:

  2. 90.13, looking good for the bear no-touch.
  3. 79 did look cheap... If I am not mistaken, I was seeing 85/88 mkt. Could be me pricing a different contract, obv, since I don't have access to Oanda.
  4. Yeah, Fenics/UBS was 86-bid last night.
  5. Bought 5 deltas USDJPY at 90.12.