By Market

(Under Construction)

But for now I’ll use this for the flash trade of the day:

For 8/24/11 – Buy CAD Oct 85.5 Puts (approx. .00015 or $15) Puts & sell AUD Oct 80 Puts (approx. .00030 or $30) in a 1:1 ratio (tweak per your comfort).

Rationale: The AUD is MOST highly correlated with the CAD (approx .88). If the AUD tanks, most likely the CAD will go with it and even if not the same magnitude, you have 8+ further points of protection since you are buying the higher strike puts. In fact with Dec CAD @ 101.04 you’re only 15.54 from in the money on the CAD while w/the Dec AUD @ 103.55 the short options are 23.55 from in the money (for a net point advantage of 8.01! – i.e. 23.55-15.54).

There would have to be a HUGE reversal for the CAD to NOT provide adequate protection:

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