Nice edge on dollar-yen upside no touch

A

atticus

Oanda is offering cheap no-touches on yen tonight. Even with the Fed this is approximately 70bp under atm vol fairval at 79/100 paid.

USDJPY 91.85 no touch
Expiration: 6/27/10 at 20:00 EDT
Payoff: 79 pays 100 if not touched

I may buy 10 deltas in spot, but will likely leave it unhedged:

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79 did look cheap... If I am not mistaken, I was seeing 85/88 mkt. Could be me pricing a different contract, obv, since I don't have access to Oanda.
 
Quote from Martinghoul:

79 did look cheap... If I am not mistaken, I was seeing 85/88 mkt. Could be me pricing a different contract, obv, since I don't have access to Oanda.
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Yeah, Fenics/UBS was 86-bid last night.
 
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