Strategy for Options Expiration and Barrier Options?

Discussion in 'Forex' started by Transatlantic, Nov 16, 2006.

  1. Hi,

    I was wondering if anyone has a profitable strategy, or any even strategy whatsoever, for trading Spot Fx based around the options expiration occurence (timeframe) as well as knowing the existence and placement of any large barrier options.

    For example, if we know that some large option position will likely expire worthless, I have seen cases where the bank hedging their position will then dynamically delta adjust by buying/selling spot to become delta neutral again after the option expiration.

    Sometimes, but not all the time, this is significant enough to move spot in a way that a person could make money off this move.

    If nothing else, maybe we can brainstorm and come up with something. For now I just expect extra volatility for the 30 minutes to 1 hour after options expiration.