Back on January 17th, I sold a 1.98 straddle on GBP/USD and at the same time sold some FX outright...I'd sold the straddle for 291.9 cents (ie. 2.919 big figures) in £5/cent, and it expired at 84 cents on Friday at 10am NY time (market was at 1.9714).
That's a profit of £1039.50 = $2,050
At the same time, I'd sold some GBO outright, and I closed it out at the same time for a profit of 90 cents, so making £450 = $887.
Option premiums remain high on this cross, and I think it may do nothing for a while. Whilst the US has taken the brunt of the bad publicity in this credit unwind, the GBP is actually pretty sh*tty as well, actually performing WORSE in 2007 than the dollar on a trade-weighted basis (no link as I can't remember where I read it). So we have two crappy currencies battling it out, and whilst I think on a valuation basis the pound will eventually fall substantially against the dollar, in the near-term I think the newsflow and economic picture coming from the US will remain grim.
So my plan is to stay net short Sterling, but also take some risk selling options. I have another identical trade expiring this Friday coming. My straddle strike here is 1.95, so a small fall would help me here.