FX Vol Premium Trade Ideas
AUG 2, 2021
05:04 AM PST
2-Week EURUSD Strangle

Spot Ref 1.1887


2-Week Expiry 2021 - 08- 16 (14Days)

Buy 2-Week EURUSD Strangle

EUR Call Strike 1.1960 ( 21.5 tics) 5.05 Vol Ref
EUR Put Strike 1.1840 ( 25.8 tics) 4.95 Vol Ref
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Total Premium is 47.3 tics
Spot at Expiry 1.1774

We exercise the 1.1840 put

Average (1.1774 + 1.17665)/2 = 1.1770

Net Gain 70tics (1.1840- 1.1770)

Gross Gain 70/47.3 = 148%


First Delta Hedge Filled @ 7:21 AM PST Aug 6th


Hedge 50% of the position at 1.1765 on the topside - Filled at 1.1765
Rolled to del data forward at 1.17665

New Orders

Buy 50% of the Hedge at 1.1605
Sell 50% of the Hedge at 1.1865


Initial Delta Hedge Orders

Hedge 50% of the position at 1.2005 on the topside
Hedge 50% of the position at 1.1765 on the topside


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