In a nutshell: The chance of EURCHF breaking the peg at 1.2000 have increased from 10% to 25-30% based on European Central Bank monetary policy, geopolitical risk and a lack of policy choices for the Swiss National Bank. This means that the weighted risk is now 9 figures – significantly up from 2 figures when I did a similar calculation back in 2011/12. ((1.2000-.9000= 30 figures) x 30% = 9 figures of risk) .This means that being long EURCHF no longer is a safe bet and although the 70% chance of the floor being both defended and protected is still high, the tail-risk involved is becoming to concerning.
