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3M EUR/USD Ratio Call Spread Expired‏

ByDanske Markets
Published 11/17/2012, 12:36 AM
Updated 05/14/2017, 06:45 AM
EUR/USD
0.29%

Today at 16:00 CET our 3M EUR/USD 1.2450/1.2700 1:2 ratio call spread expired with a profit of 1.39% (spot ref.: 1.2779).

We also closed the long EUR/USD spot position added on 14 September at 1.3034 as a hedge to the call spread. The spot position is closed with a loss of 1.91% (spot ref.: 1.2779).

US fiscal cliff is dollar positive short term
In connection with our quarterly FX Trends on 15 August 2012, we recommended to enter a 3M EUR/USD 1.2450/1.2700 1:2 ratio call spread to position for a near-term EUR/USD rebound. We expect that a policy response in Europe combined with monetary easing in China and the US to trigger a further unwinding of long dollar positions and lift EUR/USD going into Q4.

September 14 we entered a long EUR/USD spot position at 1.3034 after Fed announced that the Fed will engage in open ended QE and EUR/USD risks skewed to the upside. In general we expect the current weak risk picture to continue throughout December. We expect that EUR/USD will drop to 1.26 in one month’s time as the combination of fiscal cliff concerns, scaling back on risk-positions ahead of year-end, continued uncertainty whether Spain will ask for ECB support does not bode well for risk appetite over the next six weeks.

See FX Forecast Update - Weaker dollar, yen and sterling in 2013, but mind the cliff, 15 November, for details on our near-term FX forecast. We therefore also decided to close the long EUR/USD spot position initially added as a spot hedge to the 3M EUR/USD ratio call spread with a loss of 1.91%.

To Read the Entire Report Please Click on the pdf File Below

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