Swiss Franc Shock 2015
On 15 January 2015 the SNB abandoned the 1.20 EUR/CHF floor in minutes — a peg break that wiped FX brokers and carry books that had treated the floor as a free option.
Definition
The SNB had defended a minimum EUR/CHF with unlimited intervention. The cost (a ballooning balance sheet and political heat) rose as the euro weakened. The exit was unsignaled. Gaps of 20%+ printed; some retail platforms went through equity.
Why it matters
It is the modern lesson that a ‘credible floor’ is an option the CB can cancel. Pricing it as free insurance is how shops die.
Case
Stops did not gap-fill. Several FX brokers failed. The franc then partly retraced, which does not help a book that was closed out at the wick.
How to read it
If your edge is ‘the CB said they will defend,’ size for the day they do not. Check legal last-look and last-price clauses.