The Swiss government on Wednesday appointed Thomas Jordan as chairman of the SNB. Jordan insisted last week that "any doubts about the SNB's resolve (to defend the EURCHF 1.20 floor) were misplaced, and repeated that the bank was prepared to buy foreign currency in unlimited quantities" (source: FT).
The SNB applies a "zero-tolerance principle" on its cap, Danthine also said. It "ensures day and night that the minimum exchange rate is maintained - from Sunday night when the markets open in Sydney until Friday night when markets close in New York" (source: Bloomberg).
EURCHF low at 1.1990 before Easter: what are you talking about?
On April 5th, SNB was always on the bid at 1.2000 and EBS low at 1.1990 was due to a credit event ("lack of bi-lateral credit relationships", source: EBS). The bank that was selling down to 1.1990 did not have credit lines with the SNB. UBS said that option barriers were done at 1.2000, but no lower barriers done.
Maturity: 2 months
Investor buys No Touch, strike 1.1999 in EUR 1'000'000
Investor sells One Touch, strike 1.1999 in EUR 320'000
Premium: zero cost
Payout: EUR 1'000'000 (3.1x)
Max loss: EUR 320'000
Spot ref: EURCHF 1.2017
This trade is of interest to express your trust in the SNB floor at 1.2000. Don't forget to trade with a bank that has credit lines with the SNB!