Hi, I have my money in EUR and now want to protect against a decline over the next few months. From current levels I only see one way and that is down. I'm thinking about buying puts for a basket of currencies such as AUD, CAD, BRL, SEK, NOK, CHF, NZD. I want to participate from a slow decline as well hedge against a crash. So I have diversified into some foreign dominated bonds, but want further protection. Do you think EUR vol is cheap right now, and in what pair?
No, it's not particularly cheep... In some, it's downright crazy expensive. It's hard to answer your question without excruciating detail.