DislikedAre you going to buy a put debit spread? Which month? How far out do you usually buy?
FrankIgnored
Below are some examples of put time spreads and 3-month risk reversals one might use to profit off a carry unwind within the next 2-3 months:
sell AUD/JPY 99 put Aug 24 for 19 pips
buy AUD/JPY 99 put Sept 24 for 61 pips
3M R/R: sell 107 call, buy 100 put
sell CAD/JPY 110 put Aug 24 for 19 pips
buy CAD/JPY 110 put Sept 24 for 55 pips
3M R/R: sell 118.7 call, buy 111.2 put
sell CHF/JPY 98.3 put Aug 24 for 24 pips
buy CHF/JPY 98.3 put Sept 24 for 55 pips
3M R/R: sell 102.6 call, buy 98 put
sell EUR/JPY 160.7 put Aug 24 for 44 pips
buy EUR/JPY 160.7 put Sept 24 for 90 pips
3M R/R: sell 169.5 call, buy 160.8 put
sell GBP/JPY 237.7 put Aug 24 for 79 pips
buy GBP/JPY 237.7 put Sept 24 for 161 pips
3M R/R: sell 251 call, buy 237 put
sell NZD/JPY 88.4 put Aug 24 for 23 pips
buy NZD/JPY 88.4 put Sept 24 for 67 pips
3M R/R: sell 97.5 call, buy 89.5 put
sell USD/JPY 120.7 put Aug 24 for 53 pips
buy USD/JPY 120.7 put Sept 24 for 101 pips
3M R/R: sell 125.5 call, buy 119 put
The strike prices for the put time spreads are based on the 61.8% retracement of the lows created around late February to early March 2007 and the recent highs. The 3-month risk reversal strike prices have approximately a 22-delta at the time of this writing. All of the risk reversals posted here would result in a net debit. To fully finance the put, I would buy deeper out-of-the-money puts.
If I had that OptionVue software or similar, I'd be able to figure the max profit for the spread (which would occur if the pair expired at the strike).