EURJPY tops the list of the liquid pairs that offer ex-ante risk/reward metrics in particular thanks to the sharp rebound in implied vols as spot remained in a tight 5% range over the past 10 months. Also, while in general binary ranges are long smile convexity, the move in EURJPY and other JPY- crosses butterflies has been more contained than for instance USD pairs, offering an attractive entry point from this angle as well. A 20% TV binary range (i.e., a trade with a maximum leverage of 5:1 if barriers are not touched till expiry) looks attractive. We choose the strikes slightly asymmetrically in order to grant some margin in case of extended EUR weakness .


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