EUR/CHF IVs keeps option writers on upper hand. The implied volatilities of EURCHF ATM contracts of all expiries have been the least among G10 currency segment.

In EURCHF FX options markets, it seems like huge disparity exists between option premiums and IVs as the 1W ATM puts have been priced 30% more than NPV but IVs as you can see for 1w expiries are just below 7% which in turn "a cause of concern as to whether spot FX would move in sync with IV and risk reversals indications or not".

The 25-delta risk of reversal of EURCHF has been one of the most expensive pairs to be hedged for downside risks as it indicates puts have been relatively costlier.

Option trade recommendation: Naked Strangle Sale

On weekly charts EURCHF’s range bound pattern is persisting but some bearish candles are indicating slight weakness, (Ranging between upper strikes 1.1005 and lower strikes at around 1.0705 levels .

We foresee range bounded trend to persist in near future but little weakness on weekly charts is puzzling this pair to drag southward targets but very much within above stated range.

As a result, we recommend shorting a strangle using out of the money options, thereby, one can benefit from certain returns by shorting both calls and puts.

Naked Strangle Shorting

Overview: Slightly bearish in short term but sideways in medium term.

Time frame:  7 to 10 days

At current spot at 1.0840 with range bounded trend keeping in consideration we would like to remain in safe zone by achieving certain returns though shorting a strangle.

Short 1W OTM put (1.5% strike difference referring lower cap)and short OTM call simultaneously of the same expiry (1% strike referring upper cap) (we reiterate, preferably short term for maturity is desired).