A simple strangle for EUR/GBP vol
REAL-LIFE PROBLEMS, INNOVATIVE SOLUTIONS
Background
'Past performance is not necessarily a guide to future performance' is one stipulation that appears rather difficult to ascribe to EUR/GBP. Indeed, bounded by a limited range since 2003 despite a marked variance in underlying fundamentals, one would be forgiven for dismissing any prospect of its departure from such a well-worn path. But with the monetary backdrop in the UK and eurozone becoming decidedly interesting, cheap currency options may be one way to insure investors against any
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