Looking for EURUSD lower ideas? -> Buy USDCHF upside?
USDCHF risk reversal is under EURUSD -> and you’re getting to own the ‘SNB raise floor’ option
If we get EURCHF re-floored at 1.3000 (as our strategy team expect) – even just unchanged EURUSD makes USDCHF 1.0250
2month 1.0250 USDCHF European digital call costs ~12.7 % usd
Or – to get expiry after the next SNB meeting:
10week 1.0350 USDCHF European digital call costs ~12.5% usd
0.9550 spot ref
This is the vol you would pay for a 25d EURUSD put (dark line) compared to a 25d USDCHF call (light blue line):
not a big difference but the USDCHF remains slightly cheaper than EURUSD, despite the very real risks of a floor raise in EURCHF:
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