Comments | caramel_betty: Place your bets

caramel_betty

Place your bets

Oct 24, 2008 16:11

What's the US Dollar/UK Pound exchange rate going to do over the next 12-18 months? I have the option of taking out some currency protection on two dollar payments, and the rate is much more favourable than it was 9 months ago - I didn't take protection then, based on siding with the economic forecasters who said the pound would drop from 2 ( Read more... )

money

Comments 7

current cable vol surface pete23 October 24 2008, 15:24:42 UTC

Expiry Date Tenor ATM Vol Risk Reversal Strangle
Mon 27 Oct 2008 ON 20.30 3.50 GBP Put 0.55
Fri 31 Oct 2008 1W 27.00 3.50 GBP Put 0.55
Fri 07 Nov 2008 2W 24.50 3.50 GBP Put 0.55
Wed 26 Nov 2008 1M 27.00 3.50 GBP Put 0.55
Tue 23 Dec 2008 2M 25.00 3.50 GBP Put 0.60
Mon 26 Jan 2009 3M 23.00 3.40 GBP Put 0.65
Fri 24 Apr 2009 6M 18.50 3.10 GBP Put 0.70
Mon 26 Oct 2009 1Y 16.80 3.00 GBP Put 0.75
Tue 26 Oct 2010 2Y 16.40 2.80 GBP Put 0.70
Wed 26 Oct 2011 3Y 16.23 2.50 GBP Put 0.65
Thu 24 Oct 2013 5Y 16.10 2.00 GBP Put 0.50
Mon 26 Oct 2015 7Y 16.10 1.40 GBP Put 0.40
Thu 25 Oct 2018 10Y 16.10 1.00 GBP Put 0.19

Re: current cable vol surface caramel_betty October 24 2008, 15:30:27 UTC

I have no idea what any of that means, for I am dumb.

Re: current cable vol surface pete23 October 24 2008, 15:54:46 UTC

sorry, got interrupted before i got to finish my explanation. the fact that there's a risk reversal in favour of GBP puts indicates that the market believes that GBP/USD will go lower.

Re: current cable vol surface caramel_betty October 24 2008, 16:34:43 UTC

Interesting - thank you very much.

A friend has made the suggestion of protecting as much as we thought we would get when the exchange rate was crappier, and letting the rest do its thing, which seems a reasonable option.

Thread 6

juggzy October 24 2008, 17:16:32 UTC

Thanks for reminding me - I have some dollars I need to bring across.

A lot of it depends on the elections and subsequent behaviour of (probably) Obama ... the dollar isn't good in the long run, but should go up a littie in the wake of an Obama win, and then probably decline depending on the policies that are announced.

I think we're going to find this recession shorter than the overshooting media would have it be. We've already been in recession for about three months, and I think it will last six to nine months, so I would look at a British stirling recovery starting in March. We're moving out of an inflationary period, and liquidity is coming back. Bar any shocks, thing should be moving again by March and the media should start overreporting signs of recovery ( ... )