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19 - OCT - 2020 07:57 AM Singapore

Jan 19th 06:18 AM PST

We cancel the order at 1.2180 and sell the Full hedge at 1.2145

At expiry we will exercise the 1.1950 Call

total gain on the option = 1.2145 - 1.1950 = 195 points
Total gain on Delta Hedging = 60.65 tics
Total Gain = 195 + 60.65 = 255.65
Cost of the Strangle = 146.5 tics

Gross Gain on Capital at Risk = 255.65/146.5 = 174%

Jan 15th 12:22PM PST

We cancel the bid at 1.2070 and buy 50% of the hedge back at 1.2079.

New order sell 50% of the hedge at 1.2180

Jan 11th at 1:51PM PST
Filled at 1.2150 rolled forward to del date at 1.21517

Now just working the bid at 1.2070 GTC

New sell order : Sell 50% of the hedge at 1.2270 GTC

Jan 11th

We are adding a new bid at 1.2150 to cover 50% of the hedge and keeping at the same time the bid at 1.2070

Dec 16th 00:53:36 AM PST

EUR order at 1.2210 spot filled. The position rolled forward to delivery date at 1.2235.

We are now 100% hedge on the topside at an average of 1.2176.

New Orders

Buy back 50% of the hedge at 1.2070

Dec 2nd at 07:16 AM PST

We sold half the delta at 1.2100 and rolled it to the delivery date 21 Jan 2021 at 1.2117

Follow up delta hedge orders

Sell the balance of the delta at 1.2210 on the top side

Leave an order to buy back the delta at 1.1905 on the downside.

Trade Idea: Buy 3M EUR 30 delta stangles

Three Month Expiry 2021 -01 - 19 (92 Days)

Twelve Month Expiry 2021 -01 - 19 (92 Days)

Spot Ref 1.1717 Vol Ref 3M 6.32 ATM vols

Buy 1.1950 EUR Call USD PUT 30 delta cost in USD tics 73.25

Buy 1.1550 EUR PUT USD CALL30 detla cost in USD tics 73.25

______________________________

Total Cost in USD Tics 146.5

Our inclination is to watch the price action following the election however we would look to leave 50% hedge orders at 1.2100 on the topside and 1.1450 on the downside, but look to re-adjust once we have a clear idea of the result.

James Rider

Research Director

Direct: 604-685-4414

skype: jamesrider1