FXVOLRESEARCH
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03 - AUG - 2020  06:27 AM  PST  
We sold the spot position at .7175 gaining 65 tics. 
27% of 65 = 17.55 tics
The cost of the CHF call was 60.5 tics
The the net loss on Capital at risk on this trade is 71% of capital


NOV 2nd: we are unwinding the Delta hedge at .9175 

Trade Idea: Buy 3-Month USDCHF Calls (on CHF)  & Delta hedge forward to delivery date

Three Month  Expiry  2020 -11 - 03 (92 Days) 

Spot Ref 9134 Vol Ref 7.95

CHF Call  Strike 8900 cost 60.5 CHF   tics  Delta 27
Sell CHF & Buy USD to 2020-11-05 & .9110 (-24 tics) equiv amount = to delta hedge 
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Leave Order to Unwind the Delta Hedge at spot ref of 9400




 

 
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