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WE are unwinding this trade for Expiry 9 July today based on a spot rate of 1.1520
The 1.1550 CHF put can be purchased back for a cost of .53%
The 1.1800 CHF put can be sold back for a premium of 2.43%
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Net Premium received on the unwind of the trade is 1.90% of EUR
The cost of entering the CHF put spread was 0.70% of EUR
The Gross Return on Capital-at-Risk is 1.90/0.70 = 271% Return on Capital At Risk
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