USD/CHF options burn banks amid illiquid markets

Options portfolios were impossible to delta hedge, traders say

swiss-franc-loss-app
Shock surge: Swiss franc rose 38% in 20 minutes

Bank losses from January's shock Swiss franc move were probably the result of the companies being unable to delta hedge USD/CHF options books, according to traders and risk managers at four dealers.

In a matter of 20 minutes, the exchange rate of EUR/CHF dropped 30%, from 1.20 to 0.85, as liquidity evaporated and traders scrambled to get out of billions of dollars of long EUR/CHF bets.

The liquidiation of the one-way market made it impossible for USD/CHF options traders to delta hedge

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact customer services - www.fx-markets.com/static/contact-us, or view our subscription options here: https://subscriptions.fx-markets.com/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a FX Markets account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: