Pivot TARFs - An Overview
- Danny Kinnear
- Nov 28, 2024
- 1 min read
For corporates that favour outperformance and can take directional views, the Pivot TARF can prove to be a useful addition to their risk management toolkit.
A variation to the standard TARF, the Pivot is part of the Box Trade family of products and knits together a sell EURUSD TARF with a buy EURUSD TARF, centred around a central pivot point.
The strategy will enable the client to either buy or sell EURUSD, with the direction determined by where EURUSD fixes with respect to the pivot level. At or above the pivot, the client will sell EURUSD and below the pivot the client will buy EURUSD.
Similar to other TARF products, the Knock-Out Event is triggered when the accumulated ITM Intrinsic Value is equal to or greater than the Knock-Out Amount.
The attached presentation provides a quick overview, with examples using live market pricing (as of 27 November 2024).
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