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14 - Jan - 2019 7:51 PST
Trade Ideas: Two Week EUR Strangles
Final Gross Gain on the Trade = 95 tics + 13.7 = 108.7/60.8 = 178% Gross gain on Capital at Risk
Jan 25th Follow up 8:30am PST. We sold the cash position at 1.1410 and sold the strangle for Expiration on Monday at .12% or 13.7 tics
Jan 24th: 5:40AM PST -- We bought back the full hedge at 1.1312 and rolled forward to the delivery date at 1.1315 all in.
Leave an order to sell the hedge at 1.1410 - if done sell the option.
Follow Up on Jan 15th. Leaving a bid at 1.1312 for the full amount of the hedge.
The implied vol in the short date EUR options are trading at a substantial discount to the actuals.
Buy Two Week 2019-01-28
Spot Ref 1.1468
Strangle 30 Deltas
Strike EUR put 1.1410 .27% or 30.8tics 6.7Vol
Strike EUR call 1.1560 .26% or 30 tics 6.7Vol
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Total Cost is .53% of EUR or 60.8 tics
James Rider
Research Director
Direct: 604-685-4414
skype: jamesrider1
