We wonder if there is there is an exchange rate that is even more monotonous than EURCHF. For almost a year or so, this currency pair has been drifting within a tight range between 1.07 and 1.12 (see technical chart).

The EU referendum in the UK, rate cuts by the ECB: All this has had no effect on this exchange rate. It seems to be set in stone. But the CHF is not all that boring after all. Its status quo is fragile.

It has almost been forgotten, the great CHF shock of 15 January 2015, when the SNB surprisingly stopped defending the 1.20 mark in EURCHF and the exchange rate fell off a cliff. Not all that much seems to have happened since then. By late summer of last year at the latest, the great anxiety had disappeared.

Since then, EURCHF has been trading within a narrow range. And once again it seems (as in the days of the 1.20 exchange rate floor) as if EURCHF risks were non-existent. But appearances may again be deceiving.

To maintain it, the Swiss National Bank (SNB) needs to intervene on an ongoing basis. The question is whether it will be willing or able to stick with this strategy over the long-term.

At current spot at 1.0928, the pair has been oscillating between the range of 1.1199 on north and 1.0732 on the south. While OTC markets also predict the choppy range to prolong further as you can probably make out from the lower IVs of ATM contracts over various tenors, 4.3% and 4.85 for 1W and 1m expiries respectively (the least among G20 currency space). While 25-delta risk of reversals of EURCHF have been neutral with the no significant hedging sentiments.

Thus, we reckon with range bounded trend in the underlying spot and lower IVs keeping in consideration to play this remaining safe zone by achieving certain returns neutral option strategies are recommended, we would come with such strategies in the upcoming write up.