oleg.mub

oleg.mub

In case of continued growth of USDRUB its volatility may explode. Current level is 21.5%, it can grow up to 25+. Ratio call spread 69/72 can be an insurance of volatility possible blast. Vega + delta will performe on levels 70-72. Stop loss from theta if grow occure without volatility explosion. s7.postimg.org s10.postimg.org s11.postimg.org

oleg.mub

Delta hedge step has grown last 3 days in USD/RUB options of the September '15 series. Now it is 1000 points. 3 days ago it was 500. An example of appropriate book (option position): s12.postimg.org

oleg.mub

USDRUB is moving inside the rising channel (green lines), resistance level 60-62 was broken 3 days ago. Probably level 60-62 is a support now. The delta hedge levels of USDRUB volatility trading are 62, 60, 58... or 64, 66, 68 (every 2 rubles, red lines). The September series volatility is 22%, two weeks ago it was 15%. In case of reducing of USDRUB rate to the...