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25 - Jan - 2021 09:44 AM Singapore

NEW DELTA HEDGE ORDERS:

SELL TOPSIDE 50% BALANCE OF DELTA AT 146.86

BUY BACK HEDGE AT 142.22

Feb 3rd 12:22 Singapore Time We are filled on our order at 144.87

Feb 3rd 09:27 AM Singapore time.

We are moving the delta hedge order on the topside down to 144.87

ROLLED FORWARD TO THE DELIVERY DATE AT 144.43

Trade Idea: Buy One Month GBPJPY Strangles

Both two week and one month are showing up as cheap according to our models.

One Month Expiry 2021 -02 - 24

Spot Ref 142.13 Vol Ref 1M ATM vols 7.8

Buy 144.50 GBP Call USD PUT 23 delta cost in JPY tics 41.5

Buy 140.00 GBP PUT USD CALL 26 detla cost in JPY tics 55.5

______________________________

Total Cost in JPY Tics = 97.00

Initial Delta Hedge Suggestions:
Sell 50% of the hedge at 144.96 and Buy 50% of the hedge at 137.97

Research Director

Direct: 604-685-4414

skype: jamesrider1